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| 研究生： |
李書萱 Lee, Shu-Hsuan |
|---|---|
| 論文名稱： |
目標波動策略－以MSCI World ETF 為例 Target Volatility Strategies for MSCI World ETF |
| 指導教授： |
郭維裕
Kuo, Wei-Yu |
| 口試委員: |
郭維裕
Kuo, Wei-Yu 林靖庭 Lin, Ching-Ting 徐政義 Shiu, Cheng‑Yi |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 國際經營與貿易學系 Department of International Business |
| 論文出版年： | 2019 |
| 畢業學年度： | 107 |
| 語文別： | 英文 |
| 論文頁數： | 30 |
| 中文關鍵詞： | 目標波動 、管理波動 、波動策略 |
| 外文關鍵詞： | TVS, Volatility strategy |
| DOI URL： | http://doi.org/10.6814/NCCU201900187 |
| 相關次數： | 點閱：293 下載：44 |
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This paper investigates into target volatility strategy applied to ishare MSCI World ETF by the method of Dachraoui (2018). We keep the volatility to a target volatility and use corresponding risk exposure to manage portfolio. When the volatility is high/low, the exposure is low/high. We find that the negative covariance of the realized volatility and the risk-adjusted excess returns is an important factor which may affect TVS is workable or not. Only under the condition of negative covariance, we can conclude an effective TVS.
1 Introduction 1
2 Empirical Methodology 4
2.1 The Method of Dachraoui (2018) 4
2.2 The Method of Moreira and Muir (2017) 6
2.3 The Method of Liu, Tang, and Zhou (2018) 8
3 Data & Empirical Result 9
3.1 About Data 9
3.2 Empirical Result 11
3.3 Robustness Checks 12
3.4 Study Limitation 15
Conclusion 16
Reference 17
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Dachraoui, K. 2018. On the optimality of target volatility strategies. The Journal of Portfolio Management, 44(5): 58-67.
Hocquard, A., Ng, S., & Papageorgiou, N. 2013. A constant-volatility framework for managing tail risk. The Journal of Portfolio Management, 39(2): 28-40.
Dopfel, F. E., & Ramkumar, S. R. 2013. Managed volatility strategies: applications to investment policy. Journal of Portfolio Management, 40(1): 27.
Liu, F., Tang, X., & Zhou, G. 2018. Volatility-Managed Portfolio: Does It Really Work?. Available at SSRN 3283395.
Moreira, A., & Muir, T. 2017. Volatility‐Managed Portfolios. The Journal of Finance, 72(4): 1611-1644.
