Applying Market Profile and Finance Physics on Taiwan Financial Markets
博士 === 國立交通大學 === 資訊管理研究所 === 103 === Investors are always overconfidence about their decision and neglect risks with enormous losses. Money management with risk control is an important solution. This study was proposed a portfolio insurance policy based on market changes that could reduce both syst...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2015
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| Online Access: | http://ndltd.ncl.edu.tw/handle/hzphp7 |
| Summary: | 博士 === 國立交通大學 === 資訊管理研究所 === 103 === Investors are always overconfidence about their decision and neglect risks with enormous losses. Money management with risk control is an important solution. This study was proposed a portfolio insurance policy based on market changes that could reduce both system risk and non-systematic risk, and make profits for investors.
This research measured market trend with rotation factor of market profile that calculate by finance physics. It integrated CPPI and TIPP to develop an active hybrid portfolio insurance policy. Furthermore, this model found a set of portfolio weights and multiplier for solving multi-objective problem with returns and risks by using genetic algorithm. The reliability and validity of models was experimentally by trading FTSE TWSE Taiwan 50 Index.
The result showed the returns and risk control of hybrid portfolio insurance policy was better than CPPI or TIPP. In conclusion, single-objective (returns) portfolio and multi-objective (Sharpe Ratio) portfolio suit different scenarios with different floor.
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