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資產配置之動態規劃 / An Application of Dynamic Asset Allocation: Two-period Investigation蔡秉寰, Tsai, Ping-Huan Unknown Date (has links)
資產配置乃是將資金分散投資到主要的資產類別中,諸如股票、債券、現金等。傳統的均數/變異數方法在資產配置上早已被廣泛的運用。但是,現今的金融情勢多變,多期配置的需求提高,傳統均數/變異數方法只處理單一期間的資產配置,且反應未來的能力不佳,顯然已經不適用。
本論文提供一種多期動態的資產配置,可以改良過去單點估計值的缺點,同時能夠將未來情境納入考量,使多期資產配置更富策略性。並實證在兩期的情況下,期中調整資產組合與不調整的差異性。從而瞭解持續的動態規劃,方能提升資產配置的效率性。 / Asset allocation is the process of dividing an investment fund among major asset classes such as equities, bonds, cash, etc. Traditional mean-variance portfolio selection is widely used for asset allocation. However, as time goes by, the financial condition changes rapidly. The method of mean-variance analysis has some limitations. It not only can’t deal with multiperiod asset allocation, but also cannot reflect future economic circumstances, especially for long-term investments.
This research tries to use the method of multi-stage dynamic programming for asset allocation. This method can improve the pits of single estimate in using mean-variance analysis, and take future scenarios into account so that the model will become more useful in practice. The two-period empirical results have shown that using continuous dynamic programming to build strategic asset allocation decision can improve the efficiency of asset allocation.
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