| Summary: | 碩士 === 朝陽科技大學 === 保險金融管理系碩士班 === 96 === This research combines the Efficient Frontier, developed by Markowitz’s portfolio model, with risk adverse to figure out optimal assets allocation for unit-linked insurance and other portfolio, further to compare the investment performance of the portfolio with Treynor Index, Sharpe Index Jensen Index and Appraisal ratio.
After our research, optimal assets allocation of Portfolio A is that gold is 71.80% and stock is 28.20%; optimal percentage of Portfolio B is that Export Fund is 0%, Essence Fund is 0%, European Fund is 9.86% and Balance Fund is 90.14%; optimal percentage of Portfolio C is that gold is 39.23%, stock is 0%, Export Fund is 1.42%, Essence Fund is 0%, European Fund is 6.37% and Balance Fund is 52.98%. Based on optimal assets allocation and uses Monte Carlo Simulation to simulate rate of return twenty years later of portfolio, the best is 20.53% of Portfolio C, the worst is 15.34% of Portfolio B, the highest standard deviation is 18.86% of Portfolio A, the smallest is 12.80% of Portfolio C. To measure investment performance of the portfolio with Treynor Index, the best is Portfolio B, the worst is Portfolio C; the best is portfolio C and the worst is portfolio A with Sharpe Index; the best is portfolio A and the worst is portfolio B with Jensen Index and Appraisal ratio.
|
|---|
