Long Term Portfolio Management with Contingent Hedging Model:Theory and Empirical Tests of the Taiwan's Financial Markets

• Main Authors: TSAI, MENG-CHE, 蔡孟哲
• Other Authors: HSU, HSI-NAN
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/29nquk

博士 === 國立高雄第一科技大學 === 財務金融學院博士班 === 106 === Portfolio management along with effective hedging can be viewed as a portion of the thought of portfolio management. It is a dynamic process, not a casually injected hedging activity. The purposes of this dissertation are to propose a contingent hedging model for the long-term portfolio management and to empirically test the superiority of this portfolio management model using the data for the Taiwan’s financial markets. The contingent hedging model contains three major decisions:the selection of hedging timing, hedging vehicles and hedging ratios. Yuanta Taiwan 50 is a well-diversified ETF, which is a stock portfolio consisting of Taiwan's blue chips in various industries, and has already become a very popular investment product. Under the premise of long-term bullish stock market, this product can be viewed as an excellent object of long-term portfolio. This dissertation uses technical analysis methods such as KD and MACD indicators, collectively referred to as the KMD model, and filter rules to determine the timing of hedging, and Yuanta Daily Taiwan 50 Bear -1X ETF, TAIEX Futures and TAIEX Options as hedging vehicles. Empirical results show that the KMD model used for the selection of hedging timing in Yuanta Taiwan 50 daily data and the TAIEX Futures used as a hedging vehicle achieves the highest annualized rate of return of 13.33%, largely outperformed the buy and hold strategy of 9.51% only. Thus we conclude that the performance of the contingent hedging model strategy is far superior to the buy and hold strategy, suitable for long-term portfolio management.