極端市場狀況下原物料商品加入投資組合的表現
In this thesis, we discuss the possible diversification benefits offered by commodity futures, especially in the extreme equity market conditions. We see that adding commodity investments into portfolios could improve their performance with better diversification efficiency. However, with correlatio...
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ndltd-CHENGCHI-G00943570292013-01-07T19:34:20Z 極端市場狀況下原物料商品加入投資組合的表現 Portfolio performance with commodity investments: an extreme market case 林文凱 Lin, Wen Kai 原物料投資 投資組合 極端市場 Commodity Investment Portfolio Allocation In this thesis, we discuss the possible diversification benefits offered by commodity futures, especially in the extreme equity market conditions. We see that adding commodity investments into portfolios could improve their performance with better diversification efficiency. However, with correlation estimation by methods developed by Longin and Solnik(2001) and Ang and Chen(2002), we see correlations between equity and commodity investments increase while they are on downside moves . The results suggest that the diversification benefits offered by commodity investment may change in different market conditions. For further examination, we divide our sample in groups ranked by the home market (U.S. equity investments) returns to see if the commodity-equity portfolio could still perform better over all-equity portfolio in different times. The statistical test shows that the commodity-equity portfolios still perform better than all-equity portfolios. We conclude that commodity investments could make portfolios better-diversified, no matter how the market conditions are. 國立政治大學 http://thesis.lib.nccu.edu.tw/cgi-bin/cdrfb3/gsweb.cgi?o=dstdcdr&i=sid=%22G0094357029%22. text 英文 Copyright © nccu library on behalf of the copyright holders |
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英文 |
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原物料投資 投資組合 極端市場 Commodity Investment Portfolio Allocation |
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原物料投資 投資組合 極端市場 Commodity Investment Portfolio Allocation 林文凱 Lin, Wen Kai 極端市場狀況下原物料商品加入投資組合的表現 |
description |
In this thesis, we discuss the possible diversification benefits offered by commodity futures, especially in the extreme equity market conditions. We see that adding commodity investments into portfolios could improve their performance with better diversification efficiency. However, with correlation estimation by methods developed by Longin and Solnik(2001) and Ang and Chen(2002), we see correlations between equity and commodity investments increase while they are on downside moves . The results suggest that the diversification benefits offered by commodity investment may change in different market conditions. For further examination, we divide our sample in groups ranked by the home market (U.S. equity investments) returns to see if the commodity-equity portfolio could still perform better over all-equity portfolio in different times. The statistical test shows that the commodity-equity portfolios still perform better than all-equity portfolios. We conclude that commodity investments could make portfolios better-diversified, no matter how the market conditions are. |
author |
林文凱 Lin, Wen Kai |
author_facet |
林文凱 Lin, Wen Kai |
author_sort |
林文凱 |
title |
極端市場狀況下原物料商品加入投資組合的表現 |
title_short |
極端市場狀況下原物料商品加入投資組合的表現 |
title_full |
極端市場狀況下原物料商品加入投資組合的表現 |
title_fullStr |
極端市場狀況下原物料商品加入投資組合的表現 |
title_full_unstemmed |
極端市場狀況下原物料商品加入投資組合的表現 |
title_sort |
極端市場狀況下原物料商品加入投資組合的表現 |
publisher |
國立政治大學 |
url |
http://thesis.lib.nccu.edu.tw/cgi-bin/cdrfb3/gsweb.cgi?o=dstdcdr&i=sid=%22G0094357029%22. |
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