The Empirical Study of Weighted-Norm Minimum Variance Portfolios in Taiwan Stock Market
| Autor: | Jhuang, Dan-Hua, 莊丹華 |
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| Rok vydání: | 2017 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 105 The asset allocation problem has always been an important issue on which investors concern. It is easier and more efficient for investors to manage their assets through constructing their portfolios in different methods to find the most optimized weight of assets. This essay explores a special portfolio, Weighted-Norm Minimum Variance Portfolio (WNMVP), which can minimize the risks of investment, and use Taiwan stock market data to undertake empirical study. The research measured the performance of WNMVP, other three benchmark portfolios, and Taiwan Top 50 ETF (0050) by using ten indicators, bringing three findings. First, WNMVP performs better than most of other portfolios do. Second, adding estimated mean return vector into the WNMVP does not improve performances. Third, three alternative norm penalties provide comparable performance as parameters in WNMVP do. The second and third findings are consistence with previous literature. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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