| Summary: | 碩士 === 中原大學 === 工業與系統工程研究所 === 102 === Abstract
Recently, because of the diversification of the portfolio and financial products risk control is an important issue. Several studies shows that we are likely to underestimate the downside risk of return, so we need to use precise way to estimate stock returns.
In order to estimate the downside risk of the return precisely, we used the EVT and copula structure to simulate the stock return. Human behavior also influence the investor’s stock return estimates. There are a lots of evidence that showed human behavior affects investment performance, and people have different risks attitude towards their different mental accounts.
In this study, we select the stocks in MSCI Taiwan Index as our investment objective. We used EVT and Copula to generate return scenarios, and based on SP/A theory, we consider the investor perception of fear and hope to assign the probability to each return scenario. In this study we consider two mental accounts: Risk-Seeking mental account and Safety-First mental account. In each account we have three different models Chebyshev Inequality Interference estimation model,Markov Inequality estimation model, and Counting scenario model.
Our results showed that applied EVT to generate return scenarios and combined with SP/A changed probability measure performed well than used historical data. Second, applied EVT to generate the return scenarios and combined SP/A changed probability measure performed well than return scenarios. Third, return scenarios had good performance than market in risk seeking mental account.
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