Multi-scenario asset allocation system

• Main Authors: Ching-Hsien Lee, 李青憲
• Other Authors: Yi-Chuan Lu
• Format: Others
• Language: zh-TW
• Published: 2002
• Online Access: http://ndltd.ncl.edu.tw/handle/28446941501706109259

碩士 === 元智大學 === 資訊管理學系 === 90 === In order to proceed the result of the long term asset allocation, we often use Mean-Variance optimization (MVO) model. According to the related thesis about MVO model, forecasts of the expected returns and covariance of the assets are on the basis of historical average at some period in the past. However, historical average is not sufficient to present the conditions and historical averages at some different period time, so the results of the efficient frontier are huge different and unstable.Therefore, this thesis using multi-scenarios model for asset allocation not only takes into consideration about a large number of potential scenarios and every scenario’s probability, but also estimates the different asset’s return in every scenario. By this way, it will make the efficient frontier more correct. Finally, we propose a distributed multi-scenario asset allocation system providing information for investors to construct the asset allocation efficiently.