The empirical analysis of Lowest risk portfolio verses stock index

• Main Authors: Chung-hao Jen, 任仲豪
• Other Authors: none
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/19152798159659156418

碩士 === 義守大學 === 財務金融學系碩士班 === 97 === We use historical simulation approach, Variance-covariance approach and the Monte Carlo simulation approach to predict the Value the Risk of stock price in this study. The historical simulation approach estimates probability distribution of future returns of stock by historical data of stock. Variance-covariance approach assumes that asset returns have a normal distribution, We use the TW50 of stock are used to compute the VaR. Finally, this investigation uses the Monte Carlo simulation method to measure the risk of securitization of financial assets. The risk factors are simulated by ten thousand times in order to obtain the optmum value of the portfolio. By the portfolio theories brought up by Markowitz(1952), the portfolio risks and returns of Mean-Variance Portfolio Model is accurately calculated, it increases the flexibilities that the expected returns of investors achieve the maximum or remain the same in fixed investment risks.