Optimal Asset Allocation Of The Portfolio Over The Business Cycle In Taiwan

• Main Authors: Wan-Lan Chang, 張婉蘭
• Other Authors: Horace Chueh
• Format: Others
• Language: zh-TW
• Published: 2002
• Online Access: http://ndltd.ncl.edu.tw/handle/06679750175919951419

碩士 === 國立高雄第一科技大學 === 金融營運所 === 90 === ABSTRACT This paper utilizes a commonly financial market portfolio of nine equity, debt and equivalent cash assets. We show our results in Markowitz mean/variance efficiency by using different factors in expansion period, recession period and whole business cycle period separately. We define different business phases according to the turning point data sets of the business cycle issued by the Council For Economic Planning and Development through 1991/12 to 2001/06,115 months in all. Our research intends to provide a general picture of how cycle phase impacts specific assets and its proportion in portfolio. Thus, for comparative reason, we use the same assets in buy-and-hold strategy and give the performance quantitative evidence about business cycle effects. Following are our findings : 1.Assets proportions adjusted by cycle phase enhance the performance compared with buy and hold strategy. 2.Equity assets show better performance than debt assets in expansion period, and reverse in recession. 3.The risk（standard deviation）of fixed income assets are little except bonds, whereas, bonds bear good character in return/risk. 4.The return from assets calculated in u.s. dollars are stable and they reduce risk. 5.The weights of optimal assets allocation change more fast in recession period than in expansion period. 6.The period of the recession phase is shorter than the expansion period. Predicting business cycle in advance promotes performance of the portfolio. Asset selection policy and asset allocation strategy that adjusted by predicting business cycle fluctuation simultaneously are influential in making investment decision.