碩士 / 國立成功大學 / 財務金融研究所碩士在職專班 / 102 / Using the ETFs of 12 countries as investment vehicles, this thesis tries to compare the optimal portfolios before and after the financial crisis in 2008, respectively. The data of this study were analyzed on the basis of the Mean-Variance Model (MV). The study period was between September 15, 2003 and September 14, 2013, and it was further divided into two five-year periods before and after the financial crisis in 2008. A total of 6,786 pieces of weekly information were analyzed.
Empirical results indicated that the optimal portfolio before the financial crisis consisted of the ETFs of Brazil, Canada, Spain and Mexico. The optimal portfolio for the post-crisis period consisted of the ETFs of the U.S. and South Korea only. In particular, the U.S. ETF accounted for up to 97% of the optimal portfolio for the post-crisis period.
| Identifer | oai:union.ndltd.org:TW/102NCKU5304065 |
| Date | January 2014 |
| Creators | A-PiTsai, 蔡阿碧 |
| Contributors | Tse-Shih Wang, 王澤世 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 53 |
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