Mean-Variance Portfolio Performance Analysis - Evidence From Taiwan Market

• Main Authors: LO,JUN-SHENG, 駱潤生
• Other Authors: HAN,NAN-WEI
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/72asaz

碩士 === 德明財經科技大學 === 財務金融系理財與稅務管理碩士班 === 107 === Investment and financial management is a very important knowledge in life. The effective allocation of assets in the investment portfolio is to achieve the goal of minimizing risks and maximizing profits through effective diversification of investment. It is an issue that investors need to seriously consider.The mean-variance model proposed by Markowitz provides a modern approach to asset allocation for modern investors and has been extensively studied and applied.Based on this, this paper proposes the research design based on the relevant literatures at home and abroad, and takes Taiwan stock market as an example to point out the limitations of the mean-variance model in the construction process, and introduces a single factor model to simplify the covariation. Through the cumbersome calculation process of the matrix, through the theoretical analysis and actual data calculation, the average return rate of the portfolio, the standard deviation of the return rate, the Sharp indicator and the best investment weight are calculated, and the results are compared and analyzed.Through the comparison of the results, the mean-variance model and the single factor model are further analyzed, and the reasons for the difference in portfolio performance under the construction of the two are discussed. It is found that under the no-short limit, the average return rate of the portfolio of the sample portfolio under the construction of the mean-variance model is higher than the average return rate of the portfolio under the single-factor model. And without the short-selling restrictions, the portfolio index of the portfolio of portfolios under the construction of the mean-variance model is higher than the Sharpe index of the portfolio under the single- factor model.In order to make the model more realistic with the real trading environment, the conditions for limiting short selling, under the short-selling limit, the mean-variance model and the single-factor model in the Taiwan 50 ETF shareholding portfolio, the average remuneration of two different sample size portfolios The rate, the standard deviation of the rate of return, the Sharpe Index, compared to the no-sale limit, the gap between the two is significantly reduced. ───────────────────────────── 【Keywords】：portfolio; Mean-variance; single factor model