博碩士論文 982205010 完整後設資料紀錄

DC 欄位	值	語言
DC.contributor	統計研究所	zh_TW
DC.creator	劉佑聖	zh_TW
DC.creator	You-Sheng Liu	en_US
dc.date.accessioned	2011-6-30T07:39:07Z
dc.date.available	2011-6-30T07:39:07Z
dc.date.issued	2011
dc.identifier.uri	http://ir.lib.ncu.edu.tw:88/thesis/view_etd.asp?URN=982205010
dc.contributor.department	統計研究所	zh_TW
DC.description	國立中央大學	zh_TW
DC.description	National Central University	en_US
dc.description.abstract	最近在金融實證上的文獻指出，在股價報酬率的聯合分佈具有不對稱的相關性。Copula 提供一個方便的架構去描述不對稱的相關性結構。在這篇論文中，我們比較傳統上對報酬率作的常態分佈假設與使用Copula 建構出比較彈性的多元分佈。在Markowitz 的Mean-Variance 架構下，我們考慮一個風險趨避的投資者配置財富於不同的資產。我們用Copula 去建構高維度報酬率的分佈並使用模擬退火法去選擇最佳的權重。最後我們應用我們的方法於投資組合在台灣的股票市場。	zh_TW
dc.description.abstract	Recent studies in the empirical finance literature have reported asymmetric dependence in the joint distribution of stock returns. Copula provides a convenient framework to describe asymmetric dependence structure. In this thesis, we compare traditional multivariate normal distribution assumption for return and a flexible multivariate distribution using copula. Under Markowitz’s mean-variance framework (Markowitz, 1952), we consider a risk averse investor allocating wealth among different assets. We use copula to construct high-dimensional distribution of return, and propose a simulated annealing algorithm to select the optimal portfolio weights. We apply our approach for portfolio selection in Taiwan stock market.	en_US
DC.subject	非對稱相關	zh_TW
DC.subject	模擬退火法	zh_TW
DC.subject	copula	zh_TW
DC.subject	投資組合	zh_TW
DC.subject	simulated annealing	en_US
DC.subject	portfolio selection	en_US
DC.subject	copula	en_US
DC.subject	asymmetric dependence	en_US
DC.title	基於 Copula 模型的資產配置及台灣股票市場的應用	zh_TW
dc.language.iso	zh-TW	zh-TW
DC.title	Portfolio Selection Based on Copula Models with Applications in Taiwan Stock Market	en_US
DC.type	博碩士論文	zh_TW
DC.type	thesis	en_US
DC.publisher	National Central University	en_US