碩士 / 淡江大學 / 財務金融學系 / 85 / The objective of this paper is to compare the performance of
buying offshore funds with those of investing in international
stock markets,so we have the weekly return rates of 26 kinds
of offshare funds and stock markets of 15
countries.We introduce Markowitz''s investment portfolio theory
into the
investment on offshore funds and stock markets, and decide the
optimal
investment portfolios.With the optimal investment portfolios, we
can draw the
efficient frontiers of the offshore funds and stock markets.
Comparing those
two efficient frontiers, we can kown which way to invest is
better.Then we invest in the international stock
markets with the portfolio of offshore funds,
that is,to simulate the portfolio of offshore funds,drawing the
efficient
frontier, and compare with the efficient frontier drawing by the
stock markets.
Through this empirical study, we arrive at the following
conclusions：
1. It is hard to say that the return and the risk of the
offshare funds are
better than those of the international stock markets.
2. The correlation coefficients of the offshore funds and the
international stock markets are low.
That''s means we can reduce the investment risk by
diversification. 3.
The correlation coefficients between the offshore funds and
Taiwan stock
market are lower than those between the international stock
markets and
Taiwan stock market. So it is better to buy the offshore funds
to reduce
the risk.
4. The efficient frontier of offshore funds is better than the
efficient frontier of international stock markets. 5.
The efficient frontier of international stock markets is better
than the
efficient frontier of the simulated investment portfolio.
| Identifer | oai:union.ndltd.org:TW/085TKU00304004 |
| Date | January 1997 |
| Creators | Ting, Ya-hui, 丁雅惠 |
| Contributors | Hsu Ching-Chin, 徐靖志 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 100 |
Page generated in 0.0025 seconds