逆向式評估投資組合屬性並建立投資組合最佳化模型

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研究生：	黃建勳 Chien-Hsun Huang
論文名稱：	逆向式評估投資組合屬性並建立投資組合最佳化模型 Using Backward-type Portfolio Selection Methods to Construct Optimal Portfolio Evaluated Index and Model
指導教授：	簡禎富 Chien-Fu Chien
口試委員:
學位類別：	碩士 Master
系所名稱：	工學院 - 工業工程與工程管理學系 Department of Industrial Engineering and Engineering Management
論文出版年：	2004
畢業學年度：	92
語文別：	英文
論文頁數：	59
中文關鍵詞：	組合屬性、逆向式投資組合選擇、組合指標、多屬性混合整數二階規劃、多屬性二階規劃
外文關鍵詞：	Portfolio attributes, Backward-type portfolio selection, Portfolio index, Multi-criteria MIQP model, Multi-criteria QP model
相關次數：	點閱：2 下載：0
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在很多領域上投資組合選擇的概念都被不斷地應用，隨著電腦資訊科技的蓬勃發展、作業研究與統計的方法廣泛地被使用。在財務投資的應用上，被常被應用的模型為Mean-Variance 模型，用來找出標物的投資部位。除此之外，很多數學模型是以評估公司的基本面與股價，先評斷股票的價值再來決定一組投資標的，這一類投資方法，我們把它歸類為前向式(Forward-type)組合選擇法。相反地，本研究使用逆向式(Backward-type)組合選擇法，以組合屬性為考量，將組合屬性分成獨立、相關、綜效組合屬性三類，並納入公司基本面的狀況來建立投資組合指標。並以隨機抽樣方式建立一組資料，以組合績效為標地，應用Partial R2 統計量來量化與評估投資人對當期組合屬性偏好的程度。最後再以建構好的投資組合指標為目標式，並依照不同的綜效屬性建立兩組不同的數學模型來找出最佳的投資組合部位。本研究以台灣股市八個產業中的六十四支股票為小樣本建構投資組合，經由比較發現建立的模型其長期績效的表現不差並發現綜效屬性的考量，對投資標的選擇有正向的影響。

Portfolio selection methods are developed in many fields. Many techniques and mathematical models are used to settle related problems based on mean-variance model developed in the stock markets. Many researches focus on evaluating items and formulate portfolio from good items and the methods belong to forward-type. On the contrary, this study aims to use “backward-type” portfolio selection method.
In the perspective of backward-type selection, this thesis identifies the portfolio attributes into three categories such as independent, interrelated and synergistic portfolio attributes. Other than the mean-variance model considers the risk as the selected criteria. The thesis used the performance (i.e. future return) what the investor emphasized as the target. By the statistic of partial R squares from stepwise-regression method toward performance, the investors’ attitude (i.e. relative importance) of each attribute is obtained periodically and the evaluation index is constructed. Based on the index, the study then constructed multi-criteria mixed-integer quadratic programming model and quadratic programming by different definition of synergistic attributes to obtain invested position of stocks in the portfolio. Finally, This study will have illustrations in Taiwan Stock market and find that the backward-type selection methods, company profitability and synergistic attribute including in the model will have good performance.

i
Table of Contents
Chapter 1 Introduction ...................................................................................................1
1.1 Background and Motivation ................................................................................1
1.2 Research Aims .....................................................................................................3
1.3 Overview of this study .........................................................................................3
Chapter 2 Literature Review..........................................................................................4
2.1 Related portfolio selection problem.....................................................................7
2.2 Characteristics of portfolio selection .................................................................11
2.3 Behavior of the stock market .............................................................................16
2.4 Portfolio selection model in stock market .........................................................21
Chapter 3 Constructing Portfolio Index and Modeling................................................24
3.1 Sample Data .......................................................................................................27
3.2 Identify Objectives, Portfolio Attributes and Formulate Evaluation index .......28
3.2.1 Identify Portfolio Attributes........................................................................28
3.2.2 Formulated Evaluation index......................................................................30
3.3 Estimating the item attributes ............................................................................31
3.4 Constructing the Evaluation index.....................................................................33
3.5 Mathematical model...........................................................................................37
Chapter 4 Numerical Study..........................................................................................42
4.1 Case1: Monthly data problem............................................................................42
4.1.1 Evaluate the preference...............................................................................42
4.1.2 Performance Evaluation..............................................................................46
4.2 Case2: Quarterly data problem ..........................................................................49
4.2.1 Performance Evaluation..............................................................................50
Chapter 5 Conclusion and Further Research ...............................................................53
Reference .....................................................................................................................55
ii
List of Figures
Figure2.1 The concept of forward and backward selecting methods ............................8
Figure2.2 Procedure of one-period portfolio selection ................................................17
Figure3.1 Research framework....................................................................................25
Figure3.2 Relationship among objective, portfolio and item attributes.......................28
Figure3.3 Procedures of estimating relative importance .............................................33
Figure4.1 The monthly performance of the proposed and traditional models.............47
Figure4.2 The Geometric return of the proposed and traditional models....................49
Figure4.3 The performance of proposed and traditional models.................................51
Figure4.4 The Geometric return of the proposed and traditional models....................52
List of Tables
Table2.1 Methods in the project selection and portfolio selection ..............................10
Table2.2 Typical methods of predicting stocks performance ......................................19
Table2.3 Extended portfolio selection method based the mean-variance model.........22
Table3.1 Dependent and independent variable ............................................................34
Table3.2 Formulated each portfolio attributes in objective for MIQP model..............38
Table3.3 Formulated each portfolio attributes in objective for QP model...................41
Table4.1 Summary of the Stepwise Regression for MIQP model in period 1.............43
Table4.2 Summary of the Stepwise Regression for MIQP model in period 2.............44
Table4.3 Summary of the Stepwise Regression for QP model in period 1..................45
Table4.4 Summary of the Stepwise Regression for QP model in period 2..................45
Table4.5 The performance of proposed and traditional models...................................47
Table4.6 The performance of the proposed and traditional models.............................50
Table4.7 Pair-t test of the performance with proposed and traditional model.............51

                                

55
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