he Asset Allocation According to Smart Beta and Principal Components Analysis in Taiwan Stock Market

• Main Author: 魏巧昀
• Other Authors: 黃泓智
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/19916060940398816582

碩士 === 國立政治大學 === 風險管理與保險研究所 === 104 === In this study, using nearly 15 years quarterly financial statement of stock market in Taiwan as samples. Not only use the financial statement to construct the smart beta factor, also use the principle components analysis to calculate the scores of all the stocks, then choose the stock by the scores. First, delete the stocks of low market value and the stocks of low turnover rate. Second, selected five times the number of the investment portfolio by different indicators, then elect the number of investment portfolio stocks by the highest scores calculated by principal component analysis. To achieve the goal of risk diversification. The smart beta factors discussed in the paper are Size, Quality, Value, Momentum, Volatility, also the multiple factor. To combine the method of principal component analysis, calculate the score to select the stocks, in order to contract the portfolio which has the best performance, and can make stable growth of profits.