| Summary: | 碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 98 === The global financial crisis in 2008, following the breakdown of the U.S. subprime mortgage market in the second half of 2007, light the importance of risk management. This paper argues that related methods of Value-at-Risk (VaR) lead portfolios to capture downside risk effectively and increase return. We measure performance and optimize portfolios by three strategic models, as the traditional Mean-Variance model of Markowitz (1952), the Modified VaR model including the third and fourth moments, and Modified Sharpe ratio model. Subsequently, in addition to stocks and bonds, our study forms alternative investments, as hedge funds and managed futures (CTA), into the traditional portfolio consisting of both stocks and bonds; and then, we analyze investment performance and risk diversification of these portfolios. The empirical evidence exhibits that: first, both Modified Value-at-Risk model and Modified Sharpe ratio model effectually enable portfolios to control downside risk; second, the portfolio with hedge funds outperforms with CTA in a bull market, and the contrary in a bear market.
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