| Summary: | 碩士 === 國立暨南國際大學 === 資訊管理學系 === 101 === With different risk measurements, the rebalancing portfolio selection models including the Mean Variance model, the Mean Absolute Deviation model, the Downside Risk model, and the Conditional Value at Risk model with short selling and trading cost have been studied. Using the rolling window technique, multi-period trading simulation is performed while short selling and transaction cost are also taken into consideration to these four models. Four kinds of performance assessments, which are sharpe ratio, market value, portfolio weight and similarity index are used to compare performances among these four models. The simulating result from using the historical data which is consisted of different asset types including the Exchange Traded Funds, S&P 500 Volatility Index, Commodity, Energy, Precious Metal, Real Estate Investment Trust and Fixed Income. Then we try to find out which risk measure is suitable for which asset type. Therefore, according to this study, we can infer that Conditional Value at Risk is suitable for the asset types which are the combination of many different asset types. Downside risk measure is suitable for the portfolio which consists of assets with negative correlation to the market. The similarity proportion with Mean Absolute Deviation and Mean Variance are more similar than other two models. On the other hand, Buy and Hold strategy in each situation can not have a great benefit without fixed income. In different rebalancing period, the longer and shorter rebalancing period cannot have a good performance in our test with holding period 10 days, 20days, 40days and 60days. The best rebalancing period is 20days for portfolio selection according to our results.
|
|---|
