The Effect of Assets Portfolio Return with Portfolio Concentration and Length of Holding Period - Monte Carlo Simulation Analysis

• Main Authors: Ping-Ruei Chen, 陳秉睿
• Other Authors: Tai-Yi Yu
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/62828704651955919215

碩士 === 銘傳大學 === 風險管理與保險學系碩士班 === 99 === Taiwan''s saucer-shallow economic scale is easily affected by external events, the optimization of portfolio concentration and holding period remains an interesting issue. This research chooses the eight business stock index of Taiwan''s stock market as studied materials during the 11th and 12th business cycles, and tries to create an optimized investment strategy with low risk and good performance. This research firstly used Sharpe ratio to rank the performance and construct investment portfolio of eight business stock index with historical data. The consistency between risky assets and the hypothesis of GBM was verified, then Ito’s Lemma was followed and Monte Carlo simulation was selected to simulate the assets portfolio return. Analytical results demonstrated that the optimal concentration assets are eight assets for varied confidence intervals and constraints. If the risky indicator could be standard deviation of cumulative portfolios return, the optimal holding period is 41-45 months for 90 percentile; 37-41 months for 95 percentile. Combing Sharpe ratio, Monte Carlo simulation could be a useful uncertainty analysis tool to assets portfolio.