The optimal assets allocation and the performance of ETF

• Main Authors: Jing-Yu Chu, 朱競禹
• Other Authors: Jun-Biao Lin
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/50424052144538875243

碩士 === 國立高雄第一科技大學 === 金融營運所 === 97 === As we know that investor can diversify the risk and get benefits from foreign markets by several ways including a direct investment to foreign security market or an indirect investment to ETF (Exchange-Trade Fund). In this paper, we want to know that whether there exists a more convenient indirect investment to replace direct investment since direct investments are not always possible. The results show that direct and indirect ways have no significant difference. It means that investors can use indirect ways to create their portfolios. For this reason we use ETF to form difference regional optimal portfolios. We adopt Campbell, Huisman & Koedijk (2001) method who use Value at Risk (VaR) into efficient frontier to have the efficient frontier of under control risks, and then get the optimal assets portfolio allocation. It is obvious that different assumptions for distributions will affect the results of efficient frontier, we use to confer the effect of investment strategy of manager or investor under the assets return is normal distribution or non-normal distribution, we use both normal and non-normal distributions for comparisons. The result shows that when managers or investors use exponentially weighted moving average and historical simulation method will be more conservative than stationary bootstrap. Besides, equally-weighted moving average is more active relative than stationary bootstrap.