| Summary: | 碩士 === 元智大學 === 工業工程與管理學系 === 94 === In this thesis, a new risk alert model is proposed. This model mainly has three parts. First, Value at Risk (VaR) is taken to be the monitoring benchmark because VaR can represent what risk level is the whole portfolio involved in. Second, state-space method is added to increase the whole model’s effectiveness owing to the high performance in forecasting. Third, some actions should be taken when VaR is over the set threshold value. And, minimum variance portfolio is the way to solve weighted combination of investments.
The proposed model is verified by real data. In the case, we assume three thresholds, 5%, 10%, and 15%, separately. The testing result shows that 5% threshold has a better result. Besides, we compare the result of adjusted by minimum variance portfolio and non- minimum variance portfolio. It shows that minimum variance portfolio indeed gets a better result. Finally, we use sharp-ratio to evaluate every situation we set. 5% threshold and adjusted by minimum variance portfolio are the better action.
|
|---|
