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  • 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

The Construction of Multi-Factor Alpha Model Platform with Application in Taiwan

Lin, Tsung-Han 05 July 2011 (has links)
The objective of this study is to build the platform, and the user can choose one model of the three models (1) base multi-factor alpha model (2) sector-specific alpha model (3) market trend-based multi-factor alpha model. The user can choose one target index of the four indexes (1) Electronic (2) Finance (3) Non-Finance Non-Electronics (4) TAIEX. The platform also combined the score of sector-specific model and market model, which we called hybrid model. The platform provides (1) elasticity of equity management (2) completeness of investment strategy (3) inclusiveness of alpha models and target indexes. The user can select a suit model and allocate the model and the target index, and quickly back-testing and evaluate performance. The contributions of this study are that help asset management companies quickly design investment strategies and back-testing, or product many different equity portfolio funds, and evaluate performance for stabled performance.

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