| Summary: | 碩士 === 國立臺北大學 === 經濟學系 === 92 === ABSTRACT
An Application of Weighted Downside-Risk on Portfolio Selection
by
TSAI, HOU-YI
June 2004
ADVISOR： Dr. Wanglian, Chang-Fu
DEPARTMENT： GRADUATE SCHOOL OF ECONOMICS
MAJOR： ECONOMICS
DEGREE： MASTER OF ECONOMICS
Most of traditional portfolio theories measure risk by variance, which is expounded the wave extent of the return .Using variance to measure risk is more convenient and appropriate way under the assumption that the return has a normal distribution. However, according to the research, most of the return distribution of the financial assets is often displayed asymmetric condition in shape. And “fat tail phenomenon” is usually appeared. Therefore, it is essential to improve the way to measure risk. Besides, the development of Downside-Risk Theory has became a main stream in the last ten years, including semivariance, Lower Partial Moment, and Value at Risk(VaR）are based on the Downside-Risk Theory. Because the way which is using variance to measure risk also considers the upside wave of the return as the risk, and it is not accord with the fact.
With the close integration of the international markets, the price of the financial assets waves more and more seriously. Giant loss has increased in frequency, and the banks go bankrupt more and more easily. In order to make up for the possibility of giant loss which the past Down-Side Risk Theory ignored, l bring up “Weighted Downside-Risk(WDR)”to measure the risk of financial assets. Besides, l also bring up “General Weighted Downside-Risk (GWDR)”to measure the risk of portfolio, and find the optimal portfolio.
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