• Refine Query
  • Source
  • Publication year
  • to
  • Language
  • 15
  • 11
  • 4
  • Tagged with
  • 15
  • 15
  • 15
  • 15
  • 15
  • 10
  • 9
  • 9
  • 6
  • 6
  • 6
  • 4
  • 4
  • 4
  • 4
  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
1

投資組合之風險管理

周瑞文 Unknown Date (has links)
傳統用變異數─共變異數法來衡量投資組合的風險,當投資組合的資產項目很多時,則影響此投資組合價值變動的因素來自不同的市場,而每個市場又可能不只包含一個影響因子,所以,影響這個投資組合變動的因子可能非常複雜。不僅如此,當投資組合的資產項目很多時,則此投資組合的共變異數矩陣會變的十分龐大,在計算此共變異數矩陣會產生一些問題,如共變異矩陣可能為負,以及線性重合的問題,因此本研究希望能應用主成份分析 (Principal Component Analysis),解決上述的問題,提供一個快速又不失準確的方法,來衡量投資組合的風險。 本研究的實證結果發現,主成份分析法計算出來的風險值,在95%信心水準下,若移動窗口為60天,其穿透次數比簡單加權移動平均法多一次,與指數加權移動平均法有相同的預測能力,若移動窗口為250天,其穿透次數比簡單加權移動平均法多一次,比指數加權移動平均法多五次;在99%信心水準下,若移動窗口為60天,與簡單加權移動平均法和指數加權移動平均法有相同的預測能力,若移動窗口為250天,其穿透次數比簡單加權移動平均法多一次,比指數加權移動平均法多三次。由此可知,運用主成份分析法來計算投資組合的風險值,不僅可以解決共變異數矩陣過於龐大所帶來的問題,且在預測投資組合的風險值上,也有很好的結果。
2

主成份分析在各種多元統計方法上的應用

胡忠琳, HU, ZHONG-LIN Unknown Date (has links)
自從高速電算機的快速發展,同時處理大量資料和複雜的變項已成為可能。然而,在 進行多變量分析當變數夠分繁多時,則無法有效的處理,為方便了解與簡化分析,期 望降低多元資料的維度,直接以圖形觀察多元資料的分佈狀況與其特性,或尋找少數 幾個替代性變數,來代表原始資料做進一步的分析,主成份分析與因素析便是兩個縮 減資料的重要工具。 在本文中,主要是以主成份分析做為縮減資料的工具,其分析法與因素分析有異曲同 工之妙,但卻為不同的分析方式將其應用在不同的多變量分析,若直接採用變異數較 大的主成份,可能引發一些問題,例如:在迴歸分析時,使用變異數較大的主成份, 對因變數不一定有較好的預測能力;在其他分析上亦會產生類似的問題。因此衍生一 個非常有趣的問題:當變數的數目繁多,如何利用主成份選取適當成份或變數,最能 替代原始多元資料做進一步的分析?此為研究本文主要的動機。 本禮主要研究的目的為:說明使用主成份分析刪除多餘成份,選擇重要變數的方法, 並利用主成份分析尋找多元資料中的離群值。同時,將主成份分析應用於不同的統計 分析方法說明如何取適當的主成份,或如何利用主成份分析選取適當變數做進一步的 分析。
3

主成份分析與其他統計分析之比較研究

沈伊藤, SHEN, YI-TENG Unknown Date (has links)
當吾人研究事務之現象時,普通均需將有關聯之變數,予以全部考慮,然而當變數數 目日漸增大時,除非借助其他分析工具,否則分析將產生困難。因此,能否透過變數 轉換關係,產生新的變數,訊息損失最小化情況下,第一章緒言,第二章討論主成份 之基本觀念及其性質。第三章探討類似於主成份分析之因子分析,同時利用主成份概 念求算田子權數解,並探討直交轉軸之特性及其技巧。第四章則探討迴歸分析中,當 自變數之間有共線關係時,利用最小平方法求出迴歸係數,普通均極不穩定。本章將 研究如何利用主成份在迴歸分析之應用,同時利用F值及均方誤差準則討論應取多少 數目之主成份;最後討論主成份在異群變值分析及檢定上之應用。第五章則以一實例 ,分析其結果,作為本文結果。
4

債券投資組合之風險管理

蘇信豪 Unknown Date (has links)
隨著債券市場愈趨成熟,如何管理債券投資部位的風險成為一項重要的課題。而風險衡量的工具很多,除了存續期間(duration)之外,較常被使用的方法有風險值(VAR;RiskMetrics , 1995)、主要利率存續期間(key rate duration;Ho , 1992)、主成份分析,本論文則是嘗試利用風險值的概念來衡量債券投資部位的風險,並比較了Golub&Tilman(1997)與網狀蒙地卡羅模擬法這兩個模型在使用上的優劣。
5

以參數設計降低電源轉換器溫度之研究

林佳瑩 Unknown Date (has links)
摘 要 隨著產業全球化競爭磅礡,傳統產業在面臨顧客導向的趨勢下,如何研發更具競爭力的產品與提升產品的品質為其重要課題。 本研究主要以北縣某電子股份有限公司之電源轉換器(Switch Power Supply)為研究對象。本產品在研發過程中時常發生零件溫度過高,導致無法符合顧客規格需求的情形。經由現況了解、探討影響電源轉換器溫度過高的關鍵因素和實驗數據的收集後,本文分別採用田口方法、灰關聯分析、主成份灰關聯分析、灰決策、多屬性損失函數、有規格界限的多屬性損失函數和倒傳遞類神經網路等七種方法進行分析,以決定出降低電源轉換器溫升之最適零件水準組合及再現性。 經由最適零件水準組合之確認結果得到各零件平均溫升降低約5~10℃且溫升標準差降低約3~6℃,使得各零件溫升符合國家安全規定,而且改善後總不良率與期望損失均降低近三成以上。各種結果皆證實本研究可使產品品質大幅提升,並相信未來在市場佔有率和顧客滿意度上也皆能顯著增加。 關鍵字:參數設計、田口方法、灰關聯分析、灰決策、主成份分析、多屬性損失函數。
6

"Spaghetti "主成份分析之延伸-應用於時間相關之區間型台灣股價資料 / An extension of Spaghetti PCA for time dependent interval data

陳品達, Chen, Pin-Da Unknown Date (has links)
摘要 近幾年發展的區間型態資料之主成份分析,運用在某些領域的資料上尚未成熟,例如股票價格的資料,這些資料是與時間息息相關地,於是有了時間相關的區間資料分析 (Irpino, 2006. Pattern Recognition Letters 27, 504-513)。本文延續這個分析,針對時間相關之區間型台灣股價資料進行研究。Irpino (2006) 的方法只考慮每週的開盤價與收盤價,為了得到更多資訊,我們提出三種方法,第一個方法,將每週的最高價(最低價)納入分析,由兩點的分析變成三點的分析;第二個方法,我們同時考慮最高價與最低價,變成四點的分析,這兩個方法都能得到原始方法不能得到的資訊-公司的穩定度,其中又以第二個方法較為準確;第三種方法引用Irpino (2006) 的建議,我們改變區間的分配,而此方法得到的結果與原 始的方法差異不大。 本文分別收集了台灣金融市場三十家半導體與台指五十中的四十七家公司於民國九十七年九月一號到十二月二十六號共十七週的股價資料進行實證分析。以台指五十為例,分析結果顯示編號17的台達電子工業股份有限公司、編號24的鴻海科技集團,這兩家公司的未來被看好;而編號10的聯陽半導體股份有限公司、編號35的統一超商股份有限公司,此兩家公司的未來不被看好,這四家公司在民國九十八年一月五號到一月七號三天的走勢確實是如此!此外,結果顯示 金融體系的公司比電子體系的公司來得穩定。 關鍵字:主成份分析,區間型資料,時間相關 / ABSTRACT The methods for principal component analysis on interval data have not been ripe yet in some areas, for example, the data of stock prices that are closely related to the time, so the analysis of time dependent interval data was proposed (Irpino, 2006. Pattern Recognition Letters 27, 504-513). In this paper, we apply this approach to the stock prices data in Taiwan. The original “Spaghetti” PCA in Irpino (2006) considered only the starting and the ending prices for each week. In order to get more information we propose three methods. We consider the highest (lowest) price for each week to our analysis in Method 1, and the analysis changes from two points to three points. In Method 2, we consider all information to our analysis which considers four points. These two methods can get more information than the original one. For example, we can get the information of stability degree of the company. For the Method 3, we quote the suggestion from Irpino (2006) to change the distribution of intervals from uniform to beta. However, the result is similar to the original result. In our approach, we collect data of stock prices from 37 companies of semiconductor and 47 companies of TSEC Taiwan 50 index in Taiwan financial market during the 17 weeks from September 1 to December 26, 2008. For TSEC Taiwan 50 index, the results of this analysis are that the future trend of Delta (Delta Electronics Incorporation) which numbers 17 and Foxconn (Foxconn Electronics Incorporation) which numbers 24 are optimistic; And ITE (Integrated Technology Express) which numbers 10 and 7-ELEVEn (President Chain Store Corporation) which numbers 35 are not good. In fact, the trends of these four companies are indicated these results during January 5th to 7th. What’s more, the financial companies are steadier than the electronic industry. Keywords: Principal component analysis; Interval data; Time dependent
7

類典型相關分析及其在 免試入學上採計成績之研究 / A canonical correlation analysis type approach to model a criterion for enrolling high school students

卓惠敏, Cho, Hui Min Unknown Date (has links)
實施十二年國民基本教育,目的是為促進學生五育均衡發展,兼顧國中學習品質及日常生活表現。由於各校對成績的評分標準與評分方式皆不相同,因此如何使在校成績採計達到公平性將成為一項重要的問題。 戴岑熹(2011) 考慮了國中在校綜合學科分數與基測總分間的相關性,以決定在校各學科的權重。而本研究延伸其概念與方法,將基測各科量尺分數考慮進來,於在校綜合學科分數與基測綜合量尺分數的關聯性最密切的情況下,分析各學科權重的取決方式,希望能找出較理想的模式來代表學生在校三年的整體學習表現與成果,以做為免試升學採計在校成績的參考與依據。 本文的研究方法是運用典型相關分析的理論,但因權重的限制條件與傳統典型相關分析的要求不同,因此,便將其命名為「類典型相關分析」。在類典型相關分析中,我們證明了在校各學科分數及基測各科量尺分數的最佳權重,可先透過典型相關分析求得典型相關向量,若有必要的話,使用Rao-Ghangurad 方法加以修正,最後,再將所獲得的非負典型相關向量正規化,即可獲得所要的結果,這是一個求最佳權重向量極便捷的途徑。在實例分析方面,我們發現了一個有趣的現象,即在校學科分數與基測考科量尺分數的最佳權重向量相當接近,即名稱相同的學科與考科幾乎有相同的權重。在比較了幾個權重分配方式不同的在校綜合學科分數後,我們也發現一般學校常用的等加權模式,其表現結果也頗優異。 / The purpose of implementing the twelve-year compulsory education is to promote the balanced development of learning in students, taking into account their learning quality and normal daily performances in school. As the evaluation standard and method vary among schools, achieving fairness in calculating in-school grades has become an important issue. Dai (2011) considered the correlations between the scores of in-school academic performance and the total score of the BCTEST for junior high schools, which decided to the weightings of all learning subjects. This study extended his concept and method, and took into account the scale scores of all learning subjects. In the closest case of the weightings of all learning subjects and find out the correlations between the scores of in-school academic performance and the BCTEST, and analyse the weightings of all learning subjects. We hope the study can find a better approach that can not only reflect students’ learning situations and achievements for the three years in school but also provide a reference for the evaluation of entering senior high schools without entrance examinations. The research method in this paper employs the theory of canonical correlation analysis.However, due to that fact that weight restrictions are different from the requirements of canonical correlation analysis, it is named as the canonical correlation analysis type approach. In the canonical correlation analysis type approach, we proved that the optimal weights for school subject score and test subject score scales can be obtained by finding the canonical correlation vectors using canonical correlation analysis. Then the Rao-Ghangurad method can further be used for amending, if needed. Finally, the nonnegative canonical correlation vectors generated would be normalized to get the desired result. It is an extremely convenient way to obtain the optimal weight vector. In the case study, we found an interesting phenomenon as follows: When the optimal weight vectors for school subject score and test subject score scales were very close, subjects and tests of the same name had almost the same weight. After comparing several comprehensive school subject scores of different weight distribution, we also found that the results of the equal weighting model commonly used in schools also showed quite good results.
8

利用主成份分析法探討外匯市場風險 / Discussions of Risks in Currency Markets from the Perspective of Principal Component Analysis

郭芝岑, Kuo, Chih Chin Unknown Date (has links)
本文主要在探討在較為短的時間段以及不同的金融環境之下,是否仍然能捕捉到匯率市場中主要解釋投組報酬變動的共同風險因子-平均超額報酬以及利差報酬。我們依據重要金融事件將全樣本分為八個子樣本;總共使用39種幣別並將1983年11月至2015年10月的遠期貼水由小到大排序後,依序建構六個投資組合。全文以美國投資者的觀點出發。結果顯示平均超額報酬無論是在長期或短期的時間段下,仍然為匯率市場中解釋匯率報酬變動的主要風險因子。然而,利差報酬則不然。在銀行危機期間,利差報酬與第二主要成分之相關係數皆為高度負相關。近期自2008年次貸危機開始,利差報酬與解釋投組變動的第二主要成分之相關係數也從先前的0.8~0.9降至-0.80.此結果顯示利差交易似乎在次貸危機之後有所轉變。此外利差風險因子無法有效的解釋動能報酬。 / This paper investigates whether or not the common risk factors, dollar and carry trade risk, in currency markets proposed by Lustig, Roussanov and Verdelhan (2011) will still exist even under a short-run period with a concern of different financial backgrounds. A split of full sample into eight subsamples with respect of financial events is made. A total of 39 currencies is used to build six portfolios on the basis of the forward discounts from November 1983 to October 2015. The whole paper is in the view of an American investor. The finding suggests that under both long-run and short-run period, the dollar return is always the common factor in currency markets. However, it is not the same case for the carry trade return. During bank crises, the carry trade return is strongly negative correlated with the second component. The carry trade return turns out to have a negative correlation with the second component during and after the subprime crisis, decreasing from 0.8~0.9 in the previous subsamples to -0.80. It indicates that the desirability of carry trade activities has changed since the subprime crisis. Besides, the carry trade risk has a little power to explain the variations of momentum returns.
9

多資產結構型商品之評價與避險--利用Quasi-Monte Carlo模擬法

粘哲偉 Unknown Date (has links)
結構型商品,這種風險介於固定收益證券和股票之間的產品,甫上市以來,便廣受投資人的青睞,不僅提供保障本金的需求,更賦予參與股市上漲的獲利。且自從2004年之後,隨著目前景氣逐步回升,股票市場也預期會跟著上揚,於是連結股權的結構型商品也不斷地被推出,而其所隱含選擇權逐漸以連動多資產和具有新奇路徑相依條款為主,而使得在評價上,我們所面對的是高維度的問題,一般在處理高維度問題上,皆以傳統蒙地卡羅模擬法來因應。但因其緩慢的收斂速度,成為應用上的最大缺點,而且在處理高維度問題上所需耗費的模擬時間更為顯著。 本論文主要貢獻可分為兩點:第一,在應用準蒙地卡羅法來對多資產結構型商品評價,並採用Silva(2003)和Acworth, Broadie, and Glasserman(1998)的方法,來對準蒙地卡羅法作改善,並利用二檔市面上存在的結構型商品---高收益鎖定型連動債券和優選鎖定連動債券進行評價,結果發現改善後的準地卡羅法,其評價效率高於蒙地卡羅法和反向變異蒙地卡羅法。第二,本文還對高收益鎖定型連動債券提出delta避險策略,透過先計算選擇權對報酬率的delta,再轉換為所需持有股票的部位,最後發現所建立的避險組合能夠完全支應每年到期時所應付給投資人的債息,以及在避險時所需借款的部份,表示此一策略應為可行的避險策略,可供券商作避險上的參考。
10

"Spaghetti" 主成份分析應用於時間相關區間型資料的研究---以台灣股價為例 / A study of Spaghetti PCA for time dependent interval data applied to stock prices in Taiwan

邱大倞, Chiu, Ta Ching Unknown Date (has links)
區間型資料一般定義為由一個連續型變數的上限及下限所構成,本文中,我們特別引進了一種與時間相關的區間型資料,在Irpino (2006, Pattern Recognition Letters, 27, 504-513),他提出每個觀測值皆是由某個時段的起始值及終點值之有方向性的區間所組成,譬如某一支股票在某一周的開盤價和收盤價。過去已經有許多方法運用在區間型資料,但尚未有方法來處理有方向性的區間型資料,然而Irpino 延伸主成分方法來處理有方向性的區間資料。Irpino提出的方法以幾何學的觀點來說,可視為定義在多維度空間上對有方向性線段(一般都稱作“spaghetti”)的分析,在本文中我們有更作進一步的延伸,不僅引入股票的開盤價及收盤價,且引入當周的最高價及最低價來探索Irpino所遺漏的資訊。此外,我們也嘗試用貝他分配來取代Irpino所使用的均勻分配來檢測是否有明顯的改善。延伸的方法需要計算大量複雜的式子,包含了平均數,變異數,共變異數等,最後利用相關係數矩陣進行主成分分析。然而最後的結論為若考慮資訊的價值,以加入最高值和最小值的延伸方法是較好的選擇。 / Interval data are generally defined by the upper and the lower value assumed by a unit for a continuous variable. In this study, we introduce a special type of interval description depending on time. The original idea (Irpino, 2006, Pattern Recognition Letters, 27, 504-513) is that each observation is characterized by an oriented interval of values with a starting and a closing value for each period of observation: for example, the beginning and the closing price of a stock in a week. Several factorial methods have been discovered in order to treat interval data, but not yet for oriented intervals. Irpino presented an extension of principle component analysis to time dependent interval data, or, in general, to oriented intervals. From a geometrical point of view, the proposed approach can be considered as an analysis of oriented segments (nicely called “spaghetti”) defined in a multidimensional space identified by periods. In this paper, we make further extension not only provide the opening and the closing value but also the highest and the lowest value in a week to find out more information that cannot simply obtained from the original idea. Besides, we also use beta distribution to see if there is any improvement corresponding to the original ones. After we make these extensions, many complicated computations should be calculated such as the mean, variance, covariance in order to obtain correlation matrix for PCA. With regard to the value of information, the extended idea with the highest prices and the lowest price is the best choice.

Page generated in 0.0275 seconds