Application of Optimal Dynamic Allocation Model in Portfolio-Evidence on Taiwan-50 Stock Index
| Autor: | Chia-Hao Ho, 何佳豪 |
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| Rok vydání: | 2011 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 99 This paper use the Mean-Variance Model of Markowitz(1952) to discuss the allocation of the optimal assets. We use the component stocks of Taiwan 50 Index for the underlying of the portfolio. Through the dynamic moving window estimation, we use the weekly return from 2008/9/5 to 2009/8/28 for the first sample data. Estimate the portfolio’s mean, variance and the covariance of the next period of different kinds of model by dynamic method, then using the Mean-Variance Model to derive the optimal weight of the portfolio. We use this weights to forecast the allocation of the optimal assets from 2008/9/4 to 2010/8/27. This paper found that through the estimation of the different performance index, compare to the Mean-Variance Model, DCC-GARCH model is not only more accurate to reflect the market trend but also has better forecast ability and investment performance. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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