投資分散決策與風險值; Portfolio Diversification and Value at Risk

NCUIR > School of Management at National Central University > Department of Economics > Research Project > Item 987654321/42650

Please use this identifier to cite or link to this item: https://ir.lib.ncu.edu.tw/handle/987654321/42650

Title:	投資分散決策與風險值;Portfolio Diversification and Value at Risk
Authors:	姚睿
Contributors:	經濟學系
Keywords:	投資分散;投資組合選擇;風險值;Diversification;Portfolio Selection;Value at Risk;經濟學
Date:	2005-07-01
Issue Date:	2010-11-30 17:21:10 (UTC+8)
Publisher:	行政院國家科學委員會
Abstract:	本研究計畫分析個別投資人的風險觀念與其投資分散決策之間的關係﹐所考慮的風險測量包含變異數?偏態係數以及風險值。本研究是第一個嘗試由風險值的觀念去探討投資組合選擇的實証研究﹐擬由664 個NYSE 和AMEX 兩個美國交易所的掛牌股票﹐模擬出不同分散程度的資產組合﹐藉由資產報酬的迴歸參數估計結果﹐進一步計算出該資產之風險值。本研究計畫之成果能夠幫。This research analyzes the relationship between individual investors』 portfolio decision on diversification and their perception about risk. The risk measures considered include variance, skewness and Value at Risk (VaR). To our best knowledge, this is the first empirical attempt to explore the implications of portfolio selection from VaR. Using daily data on the returns of 664 NYSEand AMEXlisted stocks, portfolios with various degrees of diversification are constructed by simulation. These risk measures are then calculated based on sensible parametric models of portfolio returns. The results of this research can help us to gain further insights into the portfolio decisions of individual investors. Some conclusions about the impact of VaR preference on asset prices will be drawn. 研究期間：9308 ~ 9407
Relation:	財團法人國家實驗研究院科技政策研究與資訊中心
Appears in Collections:	[Department of Economics] Research Project

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