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:444/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 |