The Comparison of Portfolio Curve for Single Index Model and Mean Variance Model
碩士 === 國立臺北大學 === 統計學系 === 105 === This thesis is to study the main reasons for the change of portfolio curve constructed by Single-index model and Mean-variance model. The differences between Single-index model and Mean-variance model in the calculation of covariance will lead to different minimu...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2017
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| Online Access: | http://ndltd.ncl.edu.tw/handle/f7ujx3 |
| Summary: | 碩士 === 國立臺北大學 === 統計學系 === 105 === This thesis is to study the main reasons for the change of portfolio curve constructed by Single-index model and Mean-variance model. The differences between Single-index model and Mean-variance model in the calculation of covariance will lead to different minimum variance points of the portfolio curves. We discuss at what circumstances that the portfolio curve constructed by Single-index model will be close to the portfolio curve constructed by Mean-variance model. In this study, monthly stock returns from three companies were used as examples to calculate the return rate and standard deviation of the individual portfolio and the standard deviation for Single-index and Mean-variance models to draw the portfolio curves. The calculated portfolio curve shall satisfy the target min: Var( ) and the restricted E( )= 、 =1.We also do the sensitivity analyses for parameter changes to see how the portfolio curves for Single-index and Mean-variance models move.
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