| Summary: | 碩士 === 國立雲林科技大學 === 財務金融系 === 107 === In the stock market of Taiwan, the turnover of retail investors account for 70% of the entire market. However, the research showed that the foreign investors were the long-term profitable one, the reason may be that they assessed investment risks very carefully. Therefore, I attempted to design a model based on the Value-at-Risk and Sharpe Ratio. Finally, I will explore whether this model can achieve the purpose of risk diversification and optimal frequency for adjusting the portfolio contents.
The results of this research show that the optimal frequency of adjusting portfolio contents is one season. Based on this result, I test the five quarters of 2017Q4~2018Q4. In the term of risk diversification, it can find that only the investors have more than 50% win rate in 2017Q4~2018Q3 under the condition of holding long positions, which shows the model has poor ability of dispersion risk. However, in terms of investment performance, regardless of whether the investors hold long or short positions, they will change with the stock market, and the results are similar. Comprehensive the model’s risk diversification and the creation of investment performance capabilities, it is really helpful for investments.
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