The objective of this study is to build a complete process of quantitative stockselection model construction that combines a Multi-Factor Model and informationanalysis. Based on the quantitative stock selection model, we construct anenhanced index fund that uses the Taiwan 50 index as its benchmark.
Stock prices change for a multitude of reasons, and these reasons may changeover time. In this study, we use a Multi-Factor Model and information analysis to
find the relationship between stock price behavior and a factor‟s condition. Wecan use this relationship as a basis for stock selection.
Moreover, the purpose of this study is to construct an enhanced index fund,hence we need to control the tracking error. We use an intuitive portfolio
construction method, the original weight retention rate of the benchmark, to control tracking error. In addition, the turnover rate of a portfolio is also a significant problem as it may cause the profit of a portfolio to decreasesignificantly. In this study, we use the smoothing alpha score method to control
the turnover rate of our portfolio.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0728110-092453 |
| Date | 28 July 2010 |
| Creators | Hsu, Yu-hsiang |
| Contributors | Chien-Chiang Lee, Pei-fen Chen, Yih Jeng |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | Cholon |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0728110-092453 |
| Rights | not_available, Copyright information available at source archive |
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