系統識別號 | U0002-3006201412093000 |
---|---|
DOI | 10.6846/TKU.2014.01235 |
論文名稱(中文) | 無賣空限制下的模糊投資組合模式之研究 |
論文名稱(英文) | Fuzzy portfolio model under no short selling |
第三語言論文名稱 | |
校院名稱 | 淡江大學 |
系所名稱(中文) | 管理科學學系碩士班 |
系所名稱(英文) | Master's Program, Department of Management Sciences |
外國學位學校名稱 | |
外國學位學院名稱 | |
外國學位研究所名稱 | |
學年度 | 102 |
學期 | 2 |
出版年 | 103 |
研究生(中文) | 呂怡青 |
研究生(英文) | Yi-Ching Lu |
學號 | 601620387 |
學位類別 | 碩士 |
語言別 | 英文 |
第二語言別 | |
口試日期 | 2014-06-24 |
論文頁數 | 64頁 |
口試委員 |
指導教授
-
曹銳勤(rctsaur@yahoo.com.tw)
委員 - 莊忠柱 委員 - 傅敬群 |
關鍵字(中) |
模糊投資組合模型 TOPSIS法 投資比例 線性規劃 風險中性 Markowitz理論 公司獲利能力 |
關鍵字(英) |
Fuzzy portfolio model TOPSIS Ratio of investment Linear program Markowitz portfolio theory Profitability |
第三語言關鍵字 | |
學科別分類 | |
中文摘要 |
本研究在探討一個模糊投資組合,以上市公司股票投資收益與月報酬率風險參數。利用上市公司的股票,我們以投資組合測試的案例,使用風險中立模式進行投資組合分析,並以不同的結果進行敏感性分析。 該數據被分成五個類股有建築,紡織,電子,化工,金融。其中探討企業績效的方法由盈利能力,成長率,償付能力,股息收益率等作為變數計算權重。。 我們想知道最好的選擇類型的股票,並利用TOPSIS法來考慮風險模型的線性規劃問題藉此得到的投資報酬率的模糊投資組合模型。本研究是以計算公開的公司信息為起承,股票的最佳選擇和最佳效益為賺取為核心,給予投資人客觀的投資組合建議。 |
英文摘要 |
This paper considers a fuzzy portfolio selection problem with a constrained set of stock investment returns and satisfaction levels in terms of the total return and risk parameter. Using the stock of the listed companies, we find portfolios we tested the illustrated experiments with a sensitivity analysis that employed different investment risks cause have different results. The data are divided into five sectors that are construction, textile, electronic, chemical, and financial. The results indicate that firm performance, which is measured by profitability, growth rate, solvency, dividend yield rate. We want talk about the fuzzy model portfolioby using TOPSIS method and linear program model to choice the best type of stock. This paper consider how to know the best selection of stocks and best benefit for earning after calculating the companies reveal’s information in public. |
第三語言摘要 | |
論文目次 |
Table of Contents Table of Contents I List of Tables III List of Figures VI 1 Introduction 1 1.1. Research Background 1 1.2. Purpose of Research 1 1.3. Method of Research 1 2 Literature Review 2 2.1 Profitability 2 2.2 Portfolios 2 2.3 Markowitz Theory 3 3 The portfolio model and estimated method 4 3.1 A fuzzy value with lower and upper possibility means 4 3.2 Portfolio model 4 3.3 TOPSIS method 8 4 Selection process of security samples 11 4.1 Numerical example 35 4.2 Sensitivity analysis 36 4.2.1 Unconstrained investment of fuzzy portfolio model in 10 companies 36 4.2.2 Unconstrained investment of fuzzy portfolio model in 5 companies 37 4.2.3 Ratio of constrained investment of 10 companies. 38 4.2.4 Constrained models of 10 companies. 40 4.2.5 Constrained models of 5 companies. 44 4.2.6 10 companies of portfolio model with constrained by RC* 48 4.2.7 5 companies of portfolio model with constrained by RC* 49 4.2.8 When the textile sector ratio cut 10%. 49 4.2.9 When the chemical sector ratio cut 10%. 51 4.2.10 When the construction sector ratio cut 10% 51 4.2.11 When the financial sector ratio cut 10%. 53 4.2.12 When the electronic sector ratio cut 10%. 54 4.2.13 Flexible portfolio model (5 companies adjust by textile) 56 4.2.14 Flexible portfolio model (5 companies adjust by chemical) 56 4.2.15 Flexible portfolio model (5 companies adjust by construction) 57 4.2.16 Flexible portfolio model (5 companies adjust by financial) 58 4.2.17 Flexible portfolio model (5 companies adjust by electronic) 58 5 Conclusions 61 References: 63 List of Tables Table 4- 1 10 individual listed companies of textile sector. 11 Table 4- 2 The normalized matrix G 12 Table 4- 3 The weighted normalized matrix G* 12 Table 4- 4 Ideal solution 13 Table 4- 5 Degree of separation S* 13 Table 4- 6 Degree of separation S- 14 Table 4- 7 Relative proximity 15 Table 4- 8 10 individual listed companies of electronic sector. 16 Table 4- 9 The normalized matrix G 16 Table 4- 10 The weighted normalized matrix G* 17 Table 4- 11 Ideal solution 18 Table 4- 12 Degree of separation S* 18 Table 4- 13 Degree of separation S- 19 Table 4- 14 Relative proximity 20 Table 4- 15 10 individual listed companies of chemical sector. 21 Table 4- 16 The normalized matrix G 21 Table 4- 17 The weighted normalized matrix G* 22 Table 4- 18 Ideal solution 23 Table 4- 19 Degree of separation S* 23 Table 4- 20 Degree of separation S- 24 Table 4- 21 Relative proximity 25 Table 4- 2210 individual listed companies of construction sector. 26 Table 4- 23 The normalized matrix G 26 Table 4- 24 The weighted normalized matrix G* 27 Table 4- 25 Ideal solution 28 Table 4- 26 Degree of separation S* 29 Table 4- 27 Degree of separation S- 29 Table 4- 28 Relative proximity 30 Table 4- 29 10 individual listed companies of financial sector. 31 Table 4- 30 The normalized matrix G 31 Table 4- 31 The weighted normalized matrix G* 32 Table 4- 32 Ideal solution 32 Table 4- 33 Degree of separation S* 33 Table 4- 34 Degree of separation S- 33 Table 4- 35 Relative proximity 34 Table 4- 36 The ranking results for stocks analysis, and use RC*to choice 50 stocks to 10 stocks. 35 Table 4- 37 Unconstrained investment of fuzzy portfolio model in 10 companies 36 Table 4- 38 Unconstrained investment of fuzzy portfolio model in 5 companies 37 Table 4- 39 By TOPSIS method and Table36 ranking, we own RC* value in fuzzy portfolio model. 38 Table 4- 40 We find out the RC* value rate in fuzzy portfolio model by Table39. 39 Table 4- 41 We find out the RC* value rate in fuzzy portfolio model by Table39. 39 Table 4- 42 10 companies of portfolio model with constrained investment proportion by RC*. 48 Table 4- 43 5 companies of portfolio model with constrained investment proportion 49 Table 4- 44 Textile percentage decrease about 10% 50 Table 4- 45 Chemical percentage decrease about 10% 51 Table 4- 46 Construction percentage decrease about 10% 52 Table 4- 47 Financial percentage decrease about 10% 53 Table 4- 48 Electronic percentage decrease about 10% 54 Table 4- 49 Textile percentage decrease about 10% 56 Table 4- 50 Chemical percentage decrease about 10% 57 Table 4- 51 Construction percentage decrease about 10% 57 Table 4- 52 Financial percentage decrease about 10% 58 Table 4- 53 Electronic percentage decrease about 10% 59 List of Figures Figure 1 10 companies of ROI charts. 55 Figure 2 5 companies of ROI chart. 60 |
參考文獻 |
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