臺灣博碩士論文加值系統

傳統上進行長期資產配置時，常以平均數變異數架構來進行分析，其模式投入要素如資產的預期報酬率、變異數等是以由歷史平均值所形成。然而，由於投資工具之歷史報酬率反映未來能力不佳，且不同時期所選出的歷史報酬率彼此差異極大，造成所產生的效率前緣呈現出不穩定。有鑑於此，本論文將以多種情境模式來進行資產配置，除了可以考慮到未來各種可能產生的經濟情況及其機率外，並預估各種情境下不同資產工具之報酬率，使得最後所求得之效率前緣可以與未來實際狀況更加接近。因此本論文以多情境資產配置流程的為主軸，建構分散式多情境資產配置系統平台，藉此讓使用者可以根據系統平台所提供各項資訊，快速建構更有效率的資產配置。

In order to proceed the result of the long term asset allocation, we often use Mean-Variance optimization (MVO) model. According to the related thesis about MVO model, forecasts of the expected returns and covariance of the assets are on the basis of historical average at some period in the past. However, historical average is not sufficient to present the conditions and historical averages at some different period time, so the results of the efficient frontier are huge different and unstable.Therefore, this thesis using multi-scenarios model for asset allocation not only takes into consideration about a large number of potential scenarios and every scenario’s probability, but also estimates the different asset’s return in every scenario. By this way, it will make the efficient frontier more correct. Finally, we propose a distributed multi-scenario asset allocation system providing information for investors to construct the asset allocation efficiently.

第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 4
第三節 研究架構 4
第二章 文獻探討 5
第一節 傳統投資理論模型相關文獻探討 5
一、資產配置觀念起源 5
二、平均數/變異數投資組合模型架構 5
三、傳統模型的缺點 12
四、傳統模式改進方法 14
第二節 分散式系統架構與XML相關文獻探討 18
一、分散式系統架構介紹 18
二、XML相關介紹 20
第三章 多情境資產配置系統架構分析 23
第一節 多情境資產配置流程分析 23
一、設定資產配置目標 24
二、選擇納入資產配置組合之資產 24
三、產生未來可能情境及其機率分配 24
四、建立不同情境下各類資產之預期報酬率 26
五、計算效率前緣 27
六、決定最佳資產配置組合 28
第二節 分散式系統架構 29
一、系統設計架構 30
二、系統相關模組 31
第四章 多情境資產配置系統建置與實現 33
第一節 功能建置 33
一、未來情境評估功能 33
二、資產報酬率評估 35
三、投資組合最佳化 37
四、系統設定 39
第二節 環境建置 39
第五章 結論與未來研究方向 40
一、結論 40
二、未來研究方向 40

中文部分
[1]閔志清，台灣基金資產配置之研究，台大財研所碩士論文，民國87
[2]游欣慧，多種情境資產配置之研究，台大財務金融研究所碩士論文，民國89
[3]陳安斌，姜林杰祐，Mean Variance Model結構問題及其解決方法探討，寶來金融創新雙月刊，民國88
[4]銘傳財務金融研究中心，投資分析+Matlab應用，全華出版社。民國88
英文部分
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