Antifragile Strategies on Taiwan’s Stock Market

• Main Authors: Shu-Wen Chen, 陳姝文
• Other Authors: 林盈課
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/xs3dw6

碩士 === 國立中興大學 === 財務金融學系所 === 106 === Antifragility can be explained as not afraid of violent fluctuations in the market , and it can benefit from volatility. If the concept of antifragility is applied to the stock market, those who can outperform stock markets will be viewed as antifragile stocks. The purpose of this study is to construct an antifragile strategy that can bring the investors better returns under the stock market crashes. The empirical results show that returns from the antifragile portfolio selected when the stock market suffered a sharp drop is better than selected when the stock market had sharp gain. This can reflect the antifragile characteristics of anti-drop, and also reflect investors'' different reactions to good news and bad news. This study also explores the performances from different weighted allocations which consist of Equal weight, price weight, market value weight and Kelly weights. This study takes Kelly formula as reference and creates 12 types of Kelly weights, then observe the returns of various weights.