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 Title: 以平均變異數方法對美國風險性資產作投資組合分析;Portfolio selection from American stocks by mean-variance optimization method Authors: 陳富敬;Fu-jing Chen Contributors: 統計研究所 Keywords: 平均變異數方法;投資組合;portfolio selection;mean-variance optimization method Date: 2007-06-08 Issue Date: 2009-09-22 11:01:07 (UTC+8) Publisher: 國立中央大學圖書館 Abstract: 投資人在金融市場上有各式各樣的金融商品的選擇例如股票、債券、銀行定存等等。這些金融商品也提供平均報酬率和風險的歷史資訊。 因此以上各項金融商品該以多少的比例資金放在個人的投資組合中為了取得最大的平均報酬率及冒最小的風險就成為投資的首要課題。一位投資人選擇美國的風險性資產組成投資組合之後，以Markowitz (1952)的投資組合最佳化為原則投資；再以用平均變異數方法(Mean-Variance Method) 由已知的歷史資料做分析找出切點投資組合權重來投資。 There are many investment choices in the financial markets available to all kinds of investors, likes stocks, bonds, certificate of deposit, and so on. The historical data of the preceding products are also available. Therefore, it is an important topic to determine the components of one's portfolio in order to maximize one's mean return and to minimize one's risk. We consider an investor selecting her portfolio from American stocks and one risk-free asset by mean-variance optimization method proposed by Markowitz (1952).Empirical analysis is presented. Appears in Collections: [統計研究所] 博碩士論文

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