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    Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/65483


    Title: 台灣股票在alpha-TEV frontier上的投資組合探討與推廣
    Authors: 吳昌樺;WU,CHANG-HUA
    Contributors: 統計研究所
    Keywords: alpha-TEV
    Date: 2014-07-16
    Issue Date: 2014-10-15 15:32:54 (UTC+8)
    Publisher: 國立中央大學
    Abstract: 專業經理人的投資組合通常是一個 TEV (tracking error variance) 的投資組合,但是在 Roll (1992) 表明出這種投資組合通常都是風險過高的投資組合,這種投資組合也不屬於 mean-variance frontier。因此, Alexander和Baptista (2010)提出用 alpha (α_q)去改善投資組合,這裡簡稱此投資組合為 alpha-TEV frontier ,因為現在對專業經理人的評價都是用事後alpha去評價的。alpha-TEV frontier 此投資組合的 值跟標竿 ( benchmark,q_B )有下面等式的關係,即
    α_q=(E_q-R_f )-β_q (E_(q_B )-R_f)
    其中 R_f 為無風險利率;E_(q_B ) 為標竿的期望報酬率; β_q=(q^T Vq_B)/(σ_(q_B)^2 ); E_q 為alpha-TEV frontier 投資組合的期望報酬。
    在此文中,我們使用台灣股票資料跟 Alexander和Baptista (2010) 所提出的 alpha-TEV frontier 去做一組投資組合,並且用夏普比率 (sharp ratio) 去分析此投資組合。
    我們也使用Fuh 和 Luo (2014) 所提到的定理,去推廣mean-TEV frontier 在這裡本文稱作指標 mean-TEV frontier,也發現這種指標 frontier 的變異數有機會比較小。
    ;Active portfolio management often involves the objective of selecting a portfolio with minimum tracking
    error variance (TEV) for some expected gain in return over a benchmark. Roll (1992) shows that
    such portfolios have high risk and they do not belong to the mean-variance frontier.
    Hence, Alexander and Baptista (2010) raise a Method that use “alpha” and “TEV” to produce a portfolio. It name alpha-TEV frontier.
    Alpha-TEV frontier’alpha is relationship with benchmark
    α_q=(E_q-R_f )-β_q (E_(q_B )-R_f)
    Where R_f is risk-free. E_(q_B ) is expectation of benchmark. β_q=(q^T Vq_B)/(σ_(q_B)^2 );
    We use alpha-TEV frontier for stock of Taiwan ,and use shape rate to Analysis the data.
    We also use theorem of Fuh and Luo (2014) to prove a portfolio. And this portfolio’s variance lower than mean-variance frontier of Roll (1992)’variance. The portfolio is named index mean-TEV frontier.
    Appears in Collections:[統計研究所] 博碩士論文

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