| Summary: | 碩士 === 雲林科技大學 === 財務金融系碩士班 === 99 === This study focuses on the performance of portfolio constructions among the constituent stocks of Taiwan 50 Index. Mean-CVaR model, James-Stein model, Minimum-Variance model, and Mean-Variance model are employed and examined on Taiwan 50 Index during the period of October 2000 to September 2010.
Empirical results show that compared to Mean-Variance, James-Stein, and Minimum-Variance Models, the Mean CVaR Model has relatively higher expected return and lower level of risk; and has better performance from various evaluation indicators. Under the traditional construct of the Mean-Variance Model, the result displays that there is a phenomenon of large estimation error. Therefore, there is a significant difference in the results of the James-Stein, and Minimum-Variance Models.
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