Evaluation of Value-at-Risk in Investment Portfolio: Evidence from Component Stocks of Taiwan 50 Index.

• Main Authors: Wen-Jen Wu, 吳文仁
• Other Authors: Po-Chin Wu
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/32919255726366573250

碩士 === 中原大學 === 國際經營與貿易研究所 === 100 === Experienced the financial tsunami of 2008, a century-old company closed down and some countries defaulted on its debt. Thus, we really cannot put all eggs in one basket, and need to employ the concept of portfolio selection to engage in investment and avoid the risk of single one investment goods. The aim of this study is decide the optimal investment portfolios and their value at risk (VaRs) by considering the adjustment of daily returns with the payment of dividend, and the constraint of the holding ratio of a specific stock in mutual fund. The optimal portfolio is determined by Markowitz’s Mean-Variance method and the VaRs are measured by the variance-covariance approach, historical simulation method, and Monte Carlo simulation method. The sample objects are Taiwan's 50 constituent stocks and holding periods are half-year, one-year, and three-year, respectively. We further compare the conclusions of different holding periods, different measurement methods of VaR, and different conditions of holding ratio constraint. Taiwan’s stock market belongs to a shallow dish one; therefore, it is easily disturbed by a variety of international factors, which in turn result in sharp fluctuations of stock prices or the bankruptcy of companies. From the viewpoint of equity fund managers, this risk is not allowed. This study to selects the constituent stocks of Taiwan 50 as sample objects, because these constituent stocks represent the top fifty market values in Taiwan’s stock market. Compared to other investment targets, they have better liquidity and contain a variety of important industry in Taiwan; therefore, they are proper target companies for constructing optimal portfolio. Empirical results show that, in the case of having the constraint of holding ratio of a specific stock, historical simulation method is the best approach for evaluating the VaRs of portfolio. In addition, the longer the holding period is, the more forecasting performance historical simulation method would be. On the contrary, in the situation of no holding ratio constraint, Monte Carlo simulation has the optimal forecasting ability on the VaRs of portfolio. However, the shorter the holding period is, the more forecasting performance Monte Carlo simulation method would be. According to above conclusions, the forecasting performance of VaRs depend on the holding period, the constraint of holding ratio, and measurement methods of VaR. Thus, to select optimal method to evaluate the VaR of a specific portfolio, the managers of mutual fund need to consider these factors.