Dynamic Portfolio Transformation for Improving Risk and Return Efficiency

• Main Authors: Ssu-kai Chien, 簡司凱
• Other Authors: Hung-Yi Lin
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/97718070251992036186

碩士 === 朝陽科技大學 === 財務金融系碩士班 === 95 === Based on the hypothesis that a portfolio does not change its element securities, many researches about traditional portfolios only adjust the weights of element securities in order to maximize investment efficiencies. However, such hypothesis constrains the investment performance by a limit. This is well known that a fixed set of target securities can achieve the optimal efficiency via solving the two-order planning problem. Hence, the investment performance of a portfolio depends on the behaving of its element securities. Our study breaks this hypothesis so that the element securities corresponding to a portfolio can be replaced for a better investment performance. We propose a new method to facilitate the transformation between two portfolios. Our method can not only retain the inherent properties but also provide the better investment efficiencies. In this paper, two models are built to reach the improvement. The first model is called 「Risk Shrink」. It can retain the return level of the new portfolio as that of the original portfolio and can significantly reduce the risk level of the new portfolio. The second model is called 「Return Stretch」. It can retain the risk level of the new portfolio as that of the original portfolio and can significantly promote the return level to a higher level. The selection of the target securities for a new portfolio is beyond our study and is not included in this paper.