| Summary: | 碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 101 === We investigate four portfolio strategies: mean-variance portfolio theory of Markowitz (1952), 1/N strategy, Volatility Timing (VT) strategy and Reward-to-Risk Timing (RRT) strategy. The sample period is from January 1980 to December2012 monthly excess returns. The 6 and 25 portfolio assets are constructed by dividing various percentiles of sizes and book-to-market values. We use Sharpe ratio (SP) and Certainty-Equivalent Return (CER) measure performance in no transaction cost and transaction cost situation. Using the bootstrap method simulate 100,000 returns and calculating expected, variance, Sharpe and Certainty-Equivalent. The portfolio performances are separately investigated for Taiwan and U. S. markets. Additionally, we compare portfolio performances between Taiwan and U. S. markets for each portfolio strategy.
|
|---|
