Constructing a growth Portfolio by goal programming model
碩士 === 國立政治大學 === 應用數學系數學教學碩士在職專班 === 100 === This thesis proposed a mathematic programming model to construct a growth portfolio by using the mini-max principle and goal programming technique. The constructed portfolio is required to minimize the risk and to earn a stable profit under uncertain ma...
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| Format: | Others |
| Language: | zh-TW |
| Online Access: | http://ndltd.ncl.edu.tw/handle/41263487687565896256 |
| Summary: | 碩士 === 國立政治大學 === 應用數學系數學教學碩士在職專班 === 100 === This thesis proposed a mathematic programming model to construct a growth portfolio by using the mini-max principle and goal programming technique. The constructed portfolio is required to minimize the risk and to earn a stable profit under uncertain market. In the thesis, we discussed how to control the risk and maintain the growth of the portfolio by using the linear constraints. The proposed model also provides several parameters setting to meet the different investors' requirement. Finally, an empirical study will be provided by using the data from Taiwan’s stock market. The portfolios are constructed by giving different parameters and the performances are reported. The empirical study showed that holding a portfolio through the entire investment period without rebalance yield the performances that are not good. Therefore, the rebalance timing is investigated and the empirical study showed that a portfolio with rebalance strategy by every 8 weeks yield the best performance.
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