Risk Measurements on Online Portfolio Selection

• Main Authors: HUANG, JING-YA, 黃靖雅
• Other Authors: CHANG, CHIEN-HUNG
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/fhe978

碩士 === 靜宜大學 === 財務工程學系 === 107 === This paper attempts to the Value at Risk (VaR) of online portfolios. The online portfolio includes Buy and Hold, Best Stock, Constant Rebalance Portfolio, Follow the Winner and Follow the Loser, the investment sample is fifty Exchange Traded Funds (ETF), using the variance-covariance method to calculate the Value at Risk, and comparing the risk of the wealth of different investment methods. Verify that the portfolio is effective in controlling the risk loss of the Exchange Traded Funds. The empirical results show that the return rate of the Exchange Traded Funds portfolio is less than the Value at Risk of the portfolio, and the loss representing the portfolio is controlled by the maximum loss calculated by the Value at Risk. It is proved that the method of the portfolio risk value is quite reliable. In the measured results, it is found that in the Best stock strategy and Follower Loser strategy, the portfolio approach is not completely less than the maximum loss of the ETF's Value at Risk, which means that using these three portfolios has the opportunity to increase the risk, but Buy and Hold, Constant Rebalance Portfolio, Follow the winner's UP strategy and the EG strategy, these four portfolio approaches can completely reduce and control the maximum loss of the Exchange Traded Funds.