| Summary: | 碩士 === 中原大學 === 國際貿易研究所 === 96 === Although the utilization of asset portfolio can reduce the risk investor faced, the risk can’t be eliminated completely. In other words, under any investment portfolio, investor still faces some risk. For investor to adopt some strategy to reduce investment risk, she will first evaluate her portfolio risk. In assessing portfolio risk, almost all literatures used different method and the results are decided by investor’s risk attitude and asset holding period. Whatever, they did not analyze how to decide the optimal portfolio. This thesis tries to improve this shortcoming, that is, through Markowitz’s Mean-Variance approach to decide optimal portfolio. Once optimal portfolio has been decided we can further estimate its value of risk and choose most suitable risk assess approach.
This thesis first uses Markowitz’s effective frontier theorem to decide the optimal foreign investment portfolio from representative foreign assets, named half-year optimal investment portfolio, one-year optimal investment portfolio and four-year optimal investment portfolio. Once different optimal investment portfolios have been decided, we can apply Historical Moving Average, Historical Simulation and Monte Carlo Simulation approaches to estimate their VaRs and decide the best method to assess VaRs.
Empirical results show that for mid-term and long-term investors foreign funds are the best target asset to make up optimal portfolio and for short-term investor foreign exchange is the best one. For different optimal portfolios, the best method to evaluate their VaR is Historical Moving Average approach. Finally, if investor holds the portfolio decided by Markowitz’s effective frontier theorem for a long time, she can reduce investment risk.
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