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| 研究生： |
李璟修 Li, Ching-Hsiu |
|---|---|
| 論文名稱： |
固定投資比例策略在投資組合的應用 Constant Proportion Trading Strategy in Portfolio Management |
| 指導教授： |
王明隆
Wang, Ming-Long |
| 學位類別： |
碩士 Master |
| 系所名稱： |
管理學院 - 財務金融研究所 Graduate Institute of Finance |
| 論文出版年： | 2003 |
| 畢業學年度： | 91 |
| 語文別： | 英文 |
| 論文頁數： | 42 |
| 中文關鍵詞： | 固定投資比例策略 |
| 外文關鍵詞： | constant proportion trading strategy, geometric Brownian motion, optimal growth strategy |
| 相關次數： | 點閱：102 下載：2 |
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本論文主要探討固定投資比例策略，在假設完美市場及風險性資產價格跟隨幾何不朗寧運動的假設下，我們可以決定投資在風險性資產的最適比例。投資組合採用此比例時，會使的投資組合的成長率最大，也就是說在設定一個財富水準下，此投資組合將會以最短的期望時間達到設定的財富水準。另外，如果投資人的效用函數為對數函數時，最適投資比例的投資組合會使得投資人的效用達大最大。
最後，本論文將以數值分析來對固定投資比例策略作更深入的探討。
Many different investment objectives and criteria have been suggested for choosing investment strategies. The paper adopts the constant proportion trading strategy in the dynamic settings. Assuming the complete market and asset prices follow geometric Brownian motion, we can decide the optimal constant proportion invested in risky assets in a portfolio. We call a strategy with optimal constant proportion the optimal growth strategy. A portfolio with optimal growth strategy has the maximum expected growth rate and achieves the investment goal (any given wealth level) in the shortest time. As for the logarithm utility function, the optimal growth strategy reaches the maximum utility.
The paper also compares the optimal growth strategy with all-cash, all-bond, and all-stock strategy. We also estimate the time needed for any other constant proportion strategy to beat competing strategies at given probability level. Using the empirical data, we can access to the properties of the constant proportion trading strategy.
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校內：立即公開校外：2003-06-27公開