Analyzing and Invested Shares by Sharpe Ratio and Yield Performances

碩士 === 世新大學 === 財務金融學研究所(含碩專班) === 101 === While investing in stock market, “intrinsic for short, strategy for long” is the well know slogan. It’s a tough task since we were tracked in the frustrated market messages from time to time. The condition deteriorated further with the coming of European...

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Main Authors: HO-FONG YEH, 葉和豐
Other Authors: Chang, Shu-Hwa
Format: Others
Language:zh-TW
Published: 2013
Online Access:http://ndltd.ncl.edu.tw/handle/63829489710257440812
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spelling ndltd-TW-101SHU053040092016-05-22T04:33:28Z http://ndltd.ncl.edu.tw/handle/63829489710257440812 Analyzing and Invested Shares by Sharpe Ratio and Yield Performances 利用夏普指數與殖利率選股之投資組合分析 HO-FONG YEH 葉和豐 碩士 世新大學 財務金融學研究所(含碩專班) 101 While investing in stock market, “intrinsic for short, strategy for long” is the well know slogan. It’s a tough task since we were tracked in the frustrated market messages from time to time. The condition deteriorated further with the coming of European debt crisis and the uncertain of the capital gain tax. Investors can barely get the return not even to mention the abnormal part. However, the portfolio combined with sustainable high-dividend yield stocks outperformed the market. The research is based on the mean-variance model of Markowitz in 1952. The portfolio is made with the accompany of Rmetrics packages。Investors are allowed to find a portfolio that fits their characteristics. According to the practical results, the standard deviation of efficient portfolio is smaller than that of feasible portfolio. This indicates the fact that risk can be diversified via incorporating stocks with different weights. Investors can even reduce the unsystematic risk to zero with efficient portfolio. Diversification plays an important role here. Investors choose to have different portfolio in accordance to their risk tolerance. Tangency portfolio is attractable for risk lovers. As to those risk neutral or risk-adverse investors, the minimum variance portfolio and efficient portfolio are more suitable. The result is in accordance to the portfolio theory. By introducing Sharpe ration to portfolio management, we can obtain the maximum return per unit risk. Chang, Shu-Hwa 張淑華 2013 學位論文 ; thesis 74 zh-TW
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language zh-TW
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sources NDLTD
description 碩士 === 世新大學 === 財務金融學研究所(含碩專班) === 101 === While investing in stock market, “intrinsic for short, strategy for long” is the well know slogan. It’s a tough task since we were tracked in the frustrated market messages from time to time. The condition deteriorated further with the coming of European debt crisis and the uncertain of the capital gain tax. Investors can barely get the return not even to mention the abnormal part. However, the portfolio combined with sustainable high-dividend yield stocks outperformed the market. The research is based on the mean-variance model of Markowitz in 1952. The portfolio is made with the accompany of Rmetrics packages。Investors are allowed to find a portfolio that fits their characteristics. According to the practical results, the standard deviation of efficient portfolio is smaller than that of feasible portfolio. This indicates the fact that risk can be diversified via incorporating stocks with different weights. Investors can even reduce the unsystematic risk to zero with efficient portfolio. Diversification plays an important role here. Investors choose to have different portfolio in accordance to their risk tolerance. Tangency portfolio is attractable for risk lovers. As to those risk neutral or risk-adverse investors, the minimum variance portfolio and efficient portfolio are more suitable. The result is in accordance to the portfolio theory. By introducing Sharpe ration to portfolio management, we can obtain the maximum return per unit risk.
author2 Chang, Shu-Hwa
author_facet Chang, Shu-Hwa
HO-FONG YEH
葉和豐
author HO-FONG YEH
葉和豐
spellingShingle HO-FONG YEH
葉和豐
Analyzing and Invested Shares by Sharpe Ratio and Yield Performances
author_sort HO-FONG YEH
title Analyzing and Invested Shares by Sharpe Ratio and Yield Performances
title_short Analyzing and Invested Shares by Sharpe Ratio and Yield Performances
title_full Analyzing and Invested Shares by Sharpe Ratio and Yield Performances
title_fullStr Analyzing and Invested Shares by Sharpe Ratio and Yield Performances
title_full_unstemmed Analyzing and Invested Shares by Sharpe Ratio and Yield Performances
title_sort analyzing and invested shares by sharpe ratio and yield performances
publishDate 2013
url http://ndltd.ncl.edu.tw/handle/63829489710257440812
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