資料載入處理中...
臺灣人文及社會科學引文索引資料庫系統
:::
網站導覽
國圖首頁
聯絡我們
操作說明
English
行動版
(3.142.54.239)
登入
字型:
**字體大小變更功能,需開啟瀏覽器的JAVASCRIPT,如您的瀏覽器不支援,
IE6請利用鍵盤按住ALT鍵 + V → X → (G)最大(L)較大(M)中(S)較小(A)小,來選擇適合您的文字大小,
如為IE7以上、Firefoxy或Chrome瀏覽器則可利用鍵盤 Ctrl + (+)放大 (-)縮小來改變字型大小。
來源文獻查詢
引文查詢
瀏覽查詢
作者權威檔
引用/點閱統計
我的研究室
資料庫說明
相關網站
來源文獻查詢
/
簡易查詢
/
查詢結果列表
/
詳目列表
:::
詳目顯示
第 1 筆 / 總合 1 筆
/1
頁
來源文獻資料
摘要
外文摘要
引文資料
題名:
均值-風險投資組合模式之分析與比較:常態與非常態資料
書刊名:
文大商管學報
作者:
許晉雄
/
鄒慶士
/
葉柏緯
作者(外文):
Hsu, Chin-hsiung
/
Tsou, Ching-shih
/
Yeh, Po-wei
出版日期:
2009
卷期:
14:2
頁次:
頁71-98
主題關鍵詞:
左偏動差
;
半變異數
;
絕對離差
;
條件風險值
;
投資組合績效
;
Lower partial moment
;
Semivariance
;
Mean absolute deviation
;
Conditional value-at-risk
;
Portfolio performance measurement
原始連結:
連回原系統網址
相關次數:
被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
排除自我引用:0
共同引用:0
點閱:42
在傳統投資組合理論中,最著名的爲Markowitz(1952)所提出的均值-變異數模式,此模式係以變異數來衡量風險,不過以此來估計風險時,無論價格上漲或下跌皆視爲相同風險,但以此來測量風險,無法適當反應低機率事件的風險。基於上述觀點,Markowitz(1959)針對此現象作了修正,提出了半變異數(Semivariance)的觀念,而Estrada(2008)進而以此半變異數爲損失風險的觀念發展出一種較簡易的平均數-半變異數模型,其次,Bawa and Lindenberg(1977)以左偏動差(Lowe Partial Moment)做爲損失風險的觀念而發展出平均數-左偏動差模型。再者,Konno and Yamazaki(1991)另外提出了平均數-平均絕對離差模型,此模型不但節省計算時間,並且在求解最適投資組合時,也不需要共變異數矩陣,所以降低了計算上的困難度,最後,Rockafellar and Uryasev(2000)則以條件風險值(Conditional Value-at-Risk)爲損失風險的觀念發展出平均數-條件風險值模型。綜觀上述不同風險測量之投資組合模型,本研究以半變異數、左偏動差、平均絕對離差、條件風險值來衡量投資組合的風險,與利用變異數來衡量風險作比較,分別在常態與非常態分配下,分析其所求解出的最適投資組合之關係與差異,並進行相似度分析。
以文找文
Markowitz (1952) proposed the famous mean-variance (MV) model for portfolio selection. In the MV model, the risk of investment is measured by variance. However, from the view of measuring risk, the variance is not a satisfactory measure of risk since it penalizes gains and losses in the same way, and the variance is inappropriate to reflect the risk of low probability events. Due to above reason, many researchers had proposed different points of view to measure risks. For example, Markowitz (1959) proposed another risk measurement, semivariance (SV), to avoid this shortcoming. Next, Estrada (2008) developed a theory to evaluate the downside risk which is derived from the concept of the semivariance. Bawa and Lindenberg (1977) developed a theory to evaluate the downside risk model named "Mean Lower Partial Moment" (MLPM) model which is derived from the concept of the Lower Partial Moment. Then, Konno and Yamazaki (1991) proposed the mean mean absolute deviation (MMAD) as alternative to the mean variance (MV) model. Finally, Rockafellar and Uryasev (2000) developed a theory to evaluate the downside risk model named "Mean Conditional Value-at-Risk" (MCVaR) model which is derived from the concept of the Conditional Value-at-Risk (CVaR). They claim it retains all the positive features of the MV model, saves the investor computing time, and dose not required the covariance matrix. The main subject of this paper is to make some comparisons and analyses among these portfolio risk models whose risks measured by variance, SV, LPM, MAD and CVaR under normal and nonnormal real data, respectively.
以文找文
期刊論文
1.
Bawa, V. S.(1975)。Optimal Rules for Ordering Uncertain Prospects。Journal of Financial Economics,2(1),95-121。
2.
Cheng, P.、Wolverton, M. L.(2001)。MPT and the Downside Risk Framework: A Comment on Two Recent Studies。Journal of Real Estate Portfolio Management,7(2),125-131。
3.
Estrada, J.(2002)。Systematic Risk in Emerging Markets: The D-CAPM。Emerging Markets Review,3(4),365-379。
4.
Estrada, J.(2007)。Mean-Semivariance Behavior: Downside Risk and Capital Asset Pricing。International Review of Economics and Financey,16(2),169-185。
5.
Alexander, G. J.、Baptista, A. M.(2002)。Economic Implications of using a Mean-VaR Model for Portfolio Selection: A Comparison with Mean-Variance Analysis。Journal of Economic Dynamics & Control,26,1159-1193。
6.
Hogan, W.、Warren M.(1974)。Toward the Development of an Equilibrium Capital-Market Model Based on Semivariance。Journal of Financial Quantitative Analysis,9(1),1-11。
7.
Konno, H.(1990)。Piecewise Linear Risk Functions and Portfolio Optimization。Journal of the Operations Research Society of Japan,33(2),139-156。
8.
Lee, C. L.(2007)。The Strengths and Limitations of Risk Measures in Real Estate: A Review。Malaysian Journal of Real Estate,1(1),68-74。
9.
Phillips, H. E.(1993)。Portfolio Optimization Algorithms, Simplified Criteria, and Security Selection: A Contrast and Evaluation。Review of Quantitative Finance and Accounting,3,91-97。
10.
Angelelli, R.、Mansini, R.、Speranza, M. G.(2008)。A comparison of MAD and CVaR models with real features。Journal of Banking & Finance,32(7),1188-1197。
11.
Roy, Arthur D.(1952)。Safety First and the Holding of Assets。Econometrica,20(3),431-449。
12.
Fishburn, P. C.(1977)。Mean-Risk Analysis with Risk Associated with Below-Target Returns。American Economic Review,67(2),116-126。
13.
Nawrocki, D. N.(1999)。A Brief History of Downside Risk Measures。Journal of Investing,8(3),9-25。
14.
Estrada, J.(2008)。Mean-Semivariance Optimization: A Heuristic Approach。Journal of Applied Finance,14(1),57-72。
15.
Evans, J. L.(2004)。Wealthy Investor Attitudes, Expectations, and Behaviors toward Risk and Return。The Journal of Wealth Management,7(1),12-18。
16.
Lee, C. L.(2006)。Downside Risk Analysis in Australin commercial Property。Australian Property Journal,39(1),16-20。
17.
Konno, H.、Yamazaki, H.(1991)。Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market。Management Science,37(5),519-531。
18.
Artzner, P.、Delbaen, F.、Eber, J. M.、Heath, D.(1999)。Coherent Measure of Risk。Mathematical Finance,9(3),203-228。
19.
Lucas, A.、Klaassen, P.(1998)。Extreme Returns, Downside Risk, and Optimal Asset Allocation。Journal of Portfolio Management,25(1),71-79。
20.
Rockafellar, R. T.、Uryasev, S.(2000)。Optimization of Conditional Value-at-Risk。Journal of Risk,2(3),21-42。
21.
Jarque, Carlos M.、Bera, Anil K.(1980)。Efficient Tests for Normality, Homoscedasticity and Serial Independence of Regression Residuals。Economics Letters,6(3),255-259。
22.
Bawa, Vijay S.、Lindenberg, Eric B.(1977)。Capital Market Equilibrium in a Mean-lower Partial Moment Framework。Journal of Financial Economics,5(2),189-200。
23.
Campbell, R.、Huisman, R.、Koedijk, K.(2001)。Optimal Portfolio Selection in a Value-at-Risk Framework。Journal of Banking and Finance,25(9),1789-1804。
24.
Markowitz, Harry M.(1952)。Portfolio Selection。The Journal of Finance,7(1),77-91。
會議論文
1.
Byrne, P.、Lee, L.(2004)。Different Risk Measures: Different Portfolio Compositions?。The 11th Annual European Real Estate Society Meeting Milan。Italy。1-13。
圖書
1.
Bacon, C. R.(2004)。Practical Portfolio Performance Measurement and Attribution。New York:John Wiley & Sons。
2.
Cuthbertson, K.(1996)。Quantitative Financial Economics-Stocks, Bonds and Foreign Exchange。John Wiley & Sons。
3.
Markowitz, H. M.(1959)。Portfolio Selection。John Wiley & Sons。
推文
當script無法執行時可按︰
推文
推薦
當script無法執行時可按︰
推薦
引用網址
當script無法執行時可按︰
引用網址
引用嵌入語法
當script無法執行時可按︰
引用嵌入語法
轉寄
當script無法執行時可按︰
轉寄
top
:::
相關期刊
相關論文
相關專書
相關著作
熱門點閱
1.
不同風險衡量下效率投資組合之比較分析
無相關博士論文
無相關書籍
無相關著作
1.
中國指數股票型基金投資組合策略分析
2.
決策分析與管理:紫式決策分析以全面提升決策品質
3.
臺灣退休基金資產配置之研究
4.
臺灣交易所交易基金之報酬與風險分析
5.
國內組合型基金之風險與效率前緣分析
6.
臺灣50指數股票型基金之追蹤誤差與定價效率
7.
外匯投資組合之風險值評估--分量迴歸的應用
8.
不同風險衡量下效率投資組合之比較分析
9.
投資偏好與風險認知對於投資人投資組合的影響
10.
臺灣投資人之投資組合選擇
11.
投資組合最適化的數值方法
12.
退撫基金之投資行為及其委外經營政策之研究:投資組合調整修正模式之驗證
13.
VaR Evaluation of Bank Portfolio--Conservativeness, Accuracy and Efficiency
14.
價格發現、資訊傳遞、與市場整合--臺股期貨市場之研究
QR Code