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研究生：	白明欣 Pai, Ming-Hsin
論文名稱：	穩定分配在最佳化投資組合選擇的應用 Stable Distribution with Application on Optimal Portfolio Selection
指導教授：	黃銘欽 Huang, Min-Ching
學位類別：	碩士 Master
系所名稱：	管理學院 - 統計學系 Department of Statistics
論文出版年：	2007
畢業學年度：	95
語文別：	英文
論文頁數：	38
中文關鍵詞：	穩定分配、最佳投資組合選擇、效用函數
外文關鍵詞：	optimal portfolio selection, utility function, stable distribution
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投資組合是廣泛被用在分散風險的財務工具。本論文研究投資組合在穩定分配模型以及常態分配模型假設下的報酬表現。本研究指出假設為穩定分配模型的投資組合會比假設為常態分配的投資組合，在相同的風險水準之下具有較高的夏普指數。本研究同時探討了包含了無風險資產的投資組合。

Portfolios are widely-used tool to diversify the risk. This thesis studied portfolio performances under sub-Gaussian stable distribution models and normal distribution models. The study indicated that the portfolios constructed by stable distribution gave higher Sharpe ratio than normal distribution under the same risk level. The thesis also explored the inclusion of riskless asset in the portfolio.

Chapter 1 Introduction…………………………………………………………1
1.1 Motivation and objective…………………………………………1
1.2 Structure………………………………………………………2
Chapter 2 Literature Review………………………………………………3
   2.1 Portfolio theory ………………………………………………3
2.2 Stable distribution ………………………………………………………5
Chapter 3 Model Specification and Methodology………………………7
3.1 Properties of stable distributions……………………………………7
3.2 Appropriateness of stable distribution model…………………12
   3.3 Stable model with portfolio theory……………………………13
     3.3.1 Markowitz portfolio theory………………………………13
     3.3.2 Sub-Gaussian stable distribution in portfolio……………15
     3.3.3 Utility function……………………………………………18
Chapter 4 Empirical Results………………………………………20
   4.1 Data adaptability………………………………………………20
   4.2 Comparing stable and normal models…………………………24
   4.3 Empirical results of bearish market……………………………28
Chapter 5 Conclusions…………………………………………31
   5.1 Conclusions………………………………………………………31
References ……………………………………………………………32
Appendix Ⅰ……………………………………………………………34
Appendix Ⅱ……………………………………………………………36
Appendix Ⅲ……………………………………………………………37
Appendix Ⅳ……………………………………………………………38
                                    

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校內：2012-07-20公開
校外：2027-07-20公開電子論文尚未授權公開，紙本請查館藏目錄

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