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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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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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.
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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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