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.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0705111-034043 |
| Date | 05 July 2011 |
| Creators | Lin, Tsung-Han |
| Contributors | Shyh-Weir Tzang, Yih Jeng, Jin-Lung Lin |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | English |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0705111-034043 |
| Rights | not_available, Copyright information available at source archive |
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