| Summary: | 碩士 === 銘傳大學 === 經濟學研究所 === 91 === Performance Analysis of Optimal Investment Plus Hedging
in the Taiwan Stock Market
Abstract
The main topic of this thesis is to find out a new approach to satisfy both incentives of increasing investment return and decreasing the risk of for all investors in the stock market. The minimum-risk approach is the most popular way to hedge risk in the current Taiwan stock market. However, which its major goal is simply seeking the minimum risk of the portfolio inverted it ignores unfortunately the return part of the investment.
This study is based on portfolio approach, which combines simultaneously both goals of return and risk to manage one’s stock portfolio. Technically the new approach suggested in this study treats the stock and future position completely flexible way, it takes the stock or the future as the investment or the hedge position, respectively, depends on how the business cycle moves. On the contrary, the minimum-risk approach only uses the stock as the investment and the future as the hedge position in a strict sense. This constraint will certainly decrease the investment. The new approach is maximizing the WINDEX without setting any constraints. Because the WINDEX is an excellent evaluation index combining both positions investment and hedge, thus the average result obtained from the new approach should be better than the minimum-risk approach as well as the no hedging method.
Which attacking the issue of the optimal length of historical stock data, the new approach can also be more efficient than the portfolio approach in the traditional sense.
Keywords: hedge ratio, portfolio approach, WINDEX, hedge period
|
|---|
