Thèses sur le sujet « Optimal portfolio strategy »

This paper considers dynamic optimal portfolio strategies of utility maximizing investors in the presence of risk constraints. In particular, we investigate the optimization problem with an additional constraint modeling bounded shortfall risk measured by Value at Risk or Expected Loss. Using the Black-Scholes model of a complete financial market and applying martingale methods we give analytic expressions for the optimal terminal wealth and the optimal portfolio strategies and present some numerical results.

The paper investigates dynamic optimal portfolio strategies of utility maximizing portfolio managers in the presence of risk constraints. Especially we consider the risk, that the terminal wealth of the portfolio falls short of a certain benchmark level which is proportional to the stock price. This risk is measured by the Expected Utility Loss. We generalize the findings our previous papers to this case. Using the Black-Scholes model of a complete financial market and applying martingale methods, analytic expressions for the optimal terminal wealth and the optimal portfolio strategies are given. Numerical examples illustrate the analytic results.

>Magister Scientiae - MSc
Commercial banks play a dominant role in facilitating the economic growth of a country by acting as an intermediary between the de cit spending unit (borrowers) and the surplus spending unit (lenders). In particular, they transform short-term deposits into medium and long-term loans. Due to their important role in the economy and the nancial system as a whole, commercial banks are subject to high regulation standards in most countries. According to an international set of capital standards known as the Basel Accords, banks are required to hold a minimum level of capital as a bu er to protect their depositors and the nancial market in an event of severe unexpected losses caused by nancial risk. Moreover, government regulators aim to maintain public con dence and trust in the banking system through the use of a deposit insurance scheme (DIS). Deposit insurance (DI) has the e ect of eliminating mass withdrawals of deposits in an event of a bank failure. However, DI comes at a cost. The insuring agent is tasked with estimating a fairly priced premium that the bank should be charged for DI.

Current global efforts for energy conservation and optimization are focused on improvements in energy supply and production systems, and on encouraging the adoption of energy-efficient devices and equipment. However, systematic assessments of economic and technical implications when adopting energy-efficient alternative systems in buildings have not yet been explored thoroughly. The uncertainty about the consequences of investing in alternative energy-efficient systems has led to a prolonged utilization of obsolete building systems (underperforming HVAC systems, inefficient lighting systems, badly maintained and equipment, and so forth). This has led to overall poor energy efficiency, creating considerable burden on the building operation budget. This research discusses the procedure for formulating an investment strategy to improve existing building energy performance. The approach is suitable for large building portfolios where a plethora of potential refurbishment interventions can be considered. This makes our approach especially suited for use on university campuses and most of this report will focus on that particular application utilization protocols especially for use on campuses. This investment model only looks at the energy related savings versus investments; it is well understood that the ultimate selection of the optimal set of improvement options of a portfolio will be determined by additional considerations, such as overall value, occupant satisfaction, productivity improvements, aesthetics, etc. Nevertheless, many campus managers are confronted with the question how much energy they can save with a given investment amount. This is exactly what our approach helps to answer. The investment optimization strategy is implemented in software "InvEnergy," which systematically calculates the costs and benefits of all possible building-technology pairings, taking uncertainties in the saving/investment calculations and estimates into account. This tool empowers decision makers in facility management to make complex investment decisions during continuous building commissioning.

An optimal dividend problem with investment opportunities, taking into consideration a source of strategic risk is being considered, as well as the effect of market frictions on the decision process of the financial entities. It concerns the problem of determining an optimal control of the dividend under debt constraints and investment opportunities in an economy with business cycles. It is assumed that the company is to be allowed to accept or reject investment opportunities arriving at random times with random sizes, by changing its outstanding indebtedness, which would impact its capital structure and risk profile. This work mainly focuses on the strategic risk faced by the companies; and, in particular, it focuses on the manager's problem of setting appropriate priorities to deploy the limited resources available. This component is taken into account by introducing frictions in the capital structure modification process. The problem is formulated as a bi-dimensional singular control problem under regime switching in presence of jumps. An explicit condition is obtained in order to ensure that the value function is finite. A viscosity solution approach is used to get qualitative descriptions of the solution. Moreover, a lending scheme for a system of interconnected banks with probabilistic constraints of failure is being considered. The problem arises from the fact that financial institutions cannot possibly carry enough capital to withstand counterparty failures or systemic risk. In such situations, the central bank or the government becomes effectively the risk manager of last resort or, in extreme cases, the lender of last resort. If, on the one hand, the health of the whole financial system depends on government intervention, on the other hand, guaranteeing a high probability of salvage may result in increasing the moral hazard of the banks in the financial network. A closed form solution for an optimal control problem related to interbank lending schemes has been derived, subject to terminal probability constraints on the failure of banks which are interconnected through a financial network. The derived solution applies to real bank networks by obtaining a general solution when the aforementioned probability constraints are assumed for all the banks. We also present a direct method to compute the systemic relevance parameter for each bank within the network. Finally, a possible computation technique for the Default Risk Charge under to regulatory risk measurement processes is being considered. We focus on the Default Risk Charge measure as an effective alternative to the Incremental Risk Charge one, proposing its implementation by a quasi exhaustive-heuristic algorithm to determine the minimum capital requested to a bank facing the market risk associated to portfolios based on assets emitted by several financial agents. While most of the banks use the Monte Carlo simulation approach and the empirical quantile to estimate this risk measure, we provide new computational approaches, exhaustive or heuristic, currently becoming feasible, because of both new regulation and the high speed - low cost technology available nowadays.

A modified Delphi approach has been applied in this study to investigate best practice and to determine the factors that contribute to optimal selection of projects. There are various standards and practices that some may recognise as representing best practice in this area. Many of these have similar characteristics and this study has found no single best practice. The study identified the factors that contribute to the optimal selection of projects as: culture, process, knowledge of the business, knowledge of the work, education, experience, governance, risk awareness, selection of players, preconceptions, and time pressures. All these factors were found to be significant; to be appropriate to public sector organisations, private sector organisations and government owned corporations; and to have a strong linkage to research on strategic decision making. These factors can be consolidated into two underlying factors of organisation culture and leadership.

Essentially this project report is a discussion of mathematical modelling in pension funds, presenting sections from Cairns, A.J.D., Blake, D., Dowd, K., Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans, Journal of Economic Dynamics and Control, Volume 30, Issue 2006, Pages 843-877, with added details and background material in order to demonstrate the mathematical methods. In the investigation of the management of the investment portfolio, we only use one risky asset together with a bond and cash as other assets in a 
continuous time framework. The particular model is very much designed according to the members&rsquo
preference and then the funds are invested by the fund manager in the financial market. At the end, we are going to show various simulations of these models. Our methods include stochastic control for utility maximisation among others. The optimisation problem entails the optimal 
investment portfolio to maximise a certain power utility function. We use MATLAB and MAPLE programming languages to generate results in the form of graphs and tables

Ethanol has been blended with petrol in Malawi for over thirty years. However the strategic decisions for energy security regarding liquid fuels conspicuously omit ethanol. Fossil fuels continue to occupy first place in spite of the acknowledged fact that fossils reserves are getting exhausted and unsustainable. The goal of the research was to develop a strategic framework for sustainably promoting ethanol production so as to make it a significant part of the liquid fuels portfolio and reduce fossil fuel dependence in Malawi. The purpose of the research was to find possible pathways for increasing the production of and use of ethanol. Five pathways for increased ethanol production and use emerged from the interviews. An analysis of the interview findings identified three pathways for increased ethanol production. These were increasing feedstock for ethanol production, increasing sugarcane yields and increasing land under sugarcane. The analysis of the interviews identified two pathways for increasing ethanol use, one was government incentives and the other was the reduction of the ethanol price. Three interventions by government for achieving an optimal liquid fuel portfolio were identified as the introduction of ethanol driven vehicles, importation of flexi-fuel vehicles and the inclusion of ethanol tanks in the strategic fuel storage plan. There has been no research which explored strategically increasing ethanol in the liquid fuels portfolio in the Malawi context, as such this represents a significant contribution to knowledge. Specifically seventeen sustainability criteria for ethanol production and use were ranked and six were found to be most relevant. The positive economic contribution criterion was seen as the most relevant by the respondents in contrast to the European Union, Brazil, America and elsewhere where green house gas (GHG) mitigation is number one. The land use change (LUC) or indirect land use change criterion had mixed responses signifying that it is not well known. Both the goal and purpose of the research were achieved. A strategic framework was developed and pathways identified.

Nel contesto dell'Agenda 2030 ONU e dei Principi per l'Investimento Responsabile (firmati nel 2006, PRI, 2006), la tesi affronta tre principali tematiche della finanza sostenibile riferite a differenti asset (obbligazioni e azioni) e differenti modelli (di pricing e di portafoglio). La prima tematica riguarda la green finance e analizza il pricing dei green bond. La seconda tematica è la performance dei portafogli azionari costruiti a partire da strategie di screening e ESG (Environmental, Social, Governance) score; la terza consiste nella costruzione di un portafoglio azionario ottimo in considerazione dei fattori ESG. Il primo capitolo della tesi contribuisce alla letteratura sui green bond proponendo un modello di pricing che include un fattore di rischio di mercato e uno di rischio sistemico riferito alla caratteristica green dei bond. Seguendo l'approccio di Fama e MacBeth su un campione di bond green e convenzionali denominati in Euro nel periodo 2014-2021, stimiamo il green premium e lo scomponiamo nelle sue componenti: quantità e prezzo del rischio green. Il prezzo del rischio green è in media positivo (62,5 bp/anno) e il green premium è in media positivo per i green bond e negativo per i bond convenzionali. Tuttavia, il prezzo del rischio green diventa negativo durante la pandemia del Covid-19, indicando che la caratteristica green è considerata un vantaggio nei periodi di stress del mercato. Il secondo capitolo contribuisce alla letteratura sugli investimenti socialmente responsabili (SRI) fornendo un’analisi sulla performance delle strategie di screening basate su score ESG e applicate a portafogli azionari. A tal fine, implementiamo strategie di screening negativo e positivo a partire dai titoli dell'indice EURO STOXX e dagli score ESG di Bloomberg e la performance dei portafogli ottenuti è valutata nel lungo periodo (2007-2021) e su quattro sotto-periodi tra cui la crisi del 2008 e quella del Covid-19. I risultati mostrano che le strategie di screening negativo sovraperformano una strategia passiva benchmark nel lungo periodo, ma tale sovraperformance non si verifica nel breve periodo e quando si adotta uno screening positivo. L'ultimo capitolo tratta il tema della composizione ottima di un portafoglio azionario considerando anche aspetti non strettamente finanziari come quelli ESG. Usiamo il modello di Varmaz et al. (2022) in cui si minimizza il rischio residuo del portafoglio imponendo un vincolo sul livello desiderato di rischio sistemico e ESG score (misurato con lo score di Bloomberg) e lo analizziamo sia su un campione formato dalle azioni dell’indice EURO STOXX nel periodo 2007-2022 sia su un sotto-campione in cui è stato implementato uno screening negativo. I risultati indicano che lo Sharpe ratio dei portafogli ottimi peggiora all'aumentare del livello ESG desiderato. Inoltre, con screening negativi si ha una performance superiore solo adottando uno screening molto severo. I risultati complessivi della tesi indicano che gli investimenti sostenibili sono sia oltre che un passo indietro rispetto agli ESG: "oltre" perché integrano tutte e tre le dimensioni E, S, G, mentre gli approcci ESG spesso si concentrano solo su un singolo aspetto; "un passo indietro" perché una parte rilevante degli investimenti sostenibili si basa ancora sulle semplici strategie (es. quelle di screening) che non sfruttano appieno le metriche che si stanno perfezionando sugli ESG. Tali risultati sono interessanti per vari stakeholder, in particolare per gli intermediari finanziari che sono chiamati dalla regolamentazione a gestire i loro portafogli tenendo conto del rischio climatico e per l'industria del risparmio gestito che, in linea con la revisione della direttiva MiFID II, deve considerare le preferenze di sostenibilità dei clienti.
Against the background of the UN 2030 Agenda and the Principles for Responsible Investment (signed in 2006, PRI, 2006), the thesis addresses three main issues in sustainable finance encompassing different types of assets (bonds and stocks) and different model’s objectives (pricing and portfolio). The first issue is the pricing of green bonds, which is central to green finance. The second issue is the performance of stock portfolios based on screening strategies and ESG (Environmental, Social and Governance) scores. The third issue is the setup of an optimal stock portfolio accounting for ESG requirements. The first chapter of the thesis contributes to the literature on green bonds by proposing an original model for bond pricing, which accounts for a systemic green risk factor beside a systemic market risk factor. Using the Fama and MacBeth approach on a sample of Euro-denominated green and conventional bonds over the period 2014-2021, the green premium is estimated disentangling its two components: the sensitivity to systemic greenness and the price of green risk. We find that the price of green risk is on average significant and positive (62.5 bps per annum) and the green premium is on average positive for green bonds and negative for conventional bonds. However, the green risk price becomes negative during Covid-19 pandemic, suggesting greenness is considered a benefit in periods of market stress. The second chapter, framed within the literature on socially responsible investments (SRI), specifically contributes to the literature on the performance of screening strategies for stock portfolios based on ESG scores. Negative and positive screening strategies based on Bloomberg ESG scores and different screening thresholds are set up from the stocks belonging to the EURO STOXX index in the period 2007-2021 and over four short-term subperiods including 2008 global recession and 2020 Covid-19 pandemic. Main results reveal that negative screening strategies overperform a benchmark passive strategy in the long term whereas overperformance is not verified in the short run and when positive screenings are adopted. The last chapter aims to address the optimal portfolio allocation problem over a sample of stocks by considering also non (strictly) financial aspects such as the ESG dimensions. We follow Varmaz et al. (2022) optimization model by minimizing portfolio residual risk and imposing a desired level of portfolio systemic risk and ESG score (measured by Bloomberg ESG score) over both an unscreened and a screened sample based on the stocks of the EURO STOXX Index in the period 2007 –2022. Main results indicate that, regardless of the level of portfolio systemic risk, the Sharpe ratio of the optimal portfolios worsens as the target ESG level increases. Further, negative screenings obtain a superior performance with respect to optimization over an unscreened sample only when adopting a very severe screening, implying that very virtuous companies allow investors to do well by doing good. In sum, overall thesis results suggest that sustainable investing can be considered both beyond and behind ESG: “beyond” because it integrates all E, S, G dimensions together while ESG approaches often focus on single dimensions only; “behind” because a relevant part of sustainable investing still consists of simple strategies (e.g. screening strategies) that do not fully exploit the metrics developing in connection with ESG. Thesis results are of interest for many stakeholders, in particular financial intermediaries that are called by the regulator to manage their portfolio in consideration of climate risk and the asset management industry that must consider clients’ sustainable preferences in compliance of the revision of the EU’s MiFID II directive.

Lam Fong.
Thesis (M.Phil.)--Chinese University of Hong Kong, 2001.
Includes bibliographical references (leaves 67-68).
Abstracts in English and Chinese.
Chapter 1 --- Background --- p.1
Chapter 1.1 --- Bond and Yield --- p.1
Chapter 1.1.1 --- Bond [8] --- p.1
Chapter 1.1.2 --- Yields --- p.3
Chapter 1.1.3 --- Qualitative Nature of Price-Yield Curves --- p.5
Chapter 1.2 --- "Duration, Convexity and Time Value" --- p.8
Chapter 1.2.1 --- Duration --- p.8
Chapter 1.2.2 --- Qualitative Properties of Duration --- p.10
Chapter 1.2.3 --- Convexity --- p.16
Chapter 1.2.4 --- Literatures Review of Duration and Convexity --- p.17
Chapter 1.2.5 --- Time Value --- p.20
Chapter 2 --- Management of Interest Rate Risk --- p.22
Chapter 2.1 --- Laddered Strategy --- p.23
Chapter 2.2 --- Dumbbell Strategy --- p.24
Chapter 2.3 --- Immunization Strategy --- p.25
Chapter 2.4 --- Consideration of Convexity for Managing Interest Rate Risk --- p.26
Chapter 2.5 --- Duration Targeting[l2] --- p.28
Chapter 2.6 --- Immunizing Default-Free Bond Portfolios with a Duration Vec- tor [2] --- p.29
Chapter 2.7 --- The need of Dynamic Global Portfolio Immunization Theorem --- p.32
Chapter 3 --- Multi-Period Portfolio Selection --- p.34
Chapter 3.1 --- Objective --- p.34
Chapter 3.2 --- Dynamic Programming Formulation --- p.35
Chapter 3.3 --- Specific Situation --- p.46
Chapter 3.4 --- Summary of Implementation Results --- p.59
Chapter 4 --- Summary --- p.64
Bibliography --- p.67
A Matlab Program of the Dynamic Portfolio Selection --- p.69

碩士
國立高雄科技大學
財務管理系
107
This study discusses strategies of assembling the best investment portfolio for future asset allocation in response to concerns of global trends of population aging, sub-placement fertility, and inadequate post-retirement funds. The empirical study of funds in this study consists of three parts: 1) Global Focus Fund + Global High Yield Portfolio; 2) Global Focus Fund + Corporate US Dollar Bond; 3) Global Focus Fund + Global Funds - Global Government Bond Fund. Four portfolio models are adopted: portfolio 1 (70% stock/30% bonds); portfolio 2 (50% stock/50% bonds); portfolio 3 (30% stock/70% bonds); portfolio 4 (20% stock/80% bonds). Three phases are chosen for testing: 2003/01~2018/01; 2008/02~2018/01; 2013/02~2018/01. Returns performance, volatility, and Sharpe ratios for each of the phases are calculated, in order to model portfolios optimal to specific age groups.

碩士
世新大學
財務金融學研究所(含碩專班)
102
In order to find an optimal strategy for long-term investor, this paper applies Mean-Variance Portfolio model introduced by Markowitz(1952), and choose Tangency portfolio on efficient frontier. The study tries to find out how long the window width (sample period) fits window step length (holding period) best within recent 5 years sample. The performances of portfolio were also estimated and observed by Shrinkage covariance matrix along with sample covariance matrix. With those findingsthe researcher begins with a measurement of portfolio returns from 1991 to 2014. And it finally turned out MV portfolio an optimal strategy against Dow Jones Industrial Average(DJIA) which is used as a benchmark. There also follows some further results: 1. Is not easy to tell the differents of those two kinds covariance matrix method. ShrinkEstimator can indeed reduce the maximum loss. But its performance is weaker than covEstimator when total return is less than the benchmark. 2. In 18 years investment,MV portfolio has made every one dollar into $3.34 compared with DJIA the benchmark turned it into $2.36. It means 98.75% premium. Three major crises lies in the way, especially the 2008 subprime catastrophe, which should make our portfolio suffered serious loss because the bankruptcy of GM, one of the 30 components of DJIA. Fortunately the MV model is keeping away from these traps, and outperforms 10.61% finally during those hard times.

交易员通常在处理大单交易时会遇到困难，因为市场没有足够的流动性来消化这些买单或卖单。交易员想要在对市场产生冲击最小的情况下完成加仓或平仓，或者他们想设计一套程序来达成这个目的。
由于每次的交易结果都是一个随机变量，为了方便比较，我们可以设置一个比较基准，在本文中我们选用。
本文对之前存在的动态一致性风险测度模型的一大改进是引入了动量效应。在短时的股市中动量效应就有明显效应。
我们的最优策略是当市场朝我们不利的方向变动时我们加速仓位的增加或减少，而朝我们有利的方向变动时我们减缓我们的动作。我们的最优策略每期都会出请或买入一个预先设定的比例的股票，同时我们会在交易的初期加快我们的买卖处理，而在后期放缓动作。
我们的最优策略是时间一致的，并且是一个动态变化的策略。
For an equity trader, one problem he faces is to execute large order of stocks for his clients. The trader seeks to optimize his performance for buying and selling stocks. Basically various costs incurred during the trading includes the commission fees, margin loans, bid-ask spread, price impacts, taxes and other occasional costs. But among the all, the price impact takes the largest part.
In a sell program, the implementation shortfall is the differience between the value of the trader’s initial equity position and the sum of the cash flow he receives from his trading process. Because of the randomness inherited in the stock price process, the resulting implementation shortfall is a random variable, and we should project the random variable into real number to compare. The measure we choose is the dynamic coherent risk measure.
One of the most significant improvements of our model is the inclusion of momentum effect. Momentum is a significant effect when considering stock price dynamics in a daily circle. Another main contribution is the approximation method used in solving our model, which helps reduce much computation burden.
Our strategy applies best to the high frequency trading problem due to the nature of our approximation method. The optimal strategy in our framework is to trade more when the current price drift is negative. This is mainly due to the prevention from future possible negative price drifts. Our strategy also shows that, in addition to liquidate a fixed proportion of inventory at each period, the trader has to trade faster at earlier periods.Our optimal strategy derived from dynamic programming is time consistent and is an adapted process.
Detailed summary in vernacular field only.
Detailed summary in vernacular field only.
Detailed summary in vernacular field only.
Detailed summary in vernacular field only.
Detailed summary in vernacular field only.
He, Mengfei.
Thesis (M.Phil.)--Chinese University of Hong Kong, 2013.
Includes bibliographical references (leaves 132-134).
Abstracts also in Chinese.
Abstract --- p.i
Acknowledgement --- p.iv
Chapter 1 --- Introduction --- p.1
Chapter 2 --- Literature Review --- p.10
Chapter 2.1 --- Model Comparison --- p.10
Chapter 2.1.1 --- Price dynamics --- p.10
Chapter 2.1.2 --- Price impacts --- p.11
Chapter 2.1.3 --- Inventory constraints --- p.14
Chapter 2.1.4 --- Objective functions and risk measures --- p.15
Chapter 2.1.5 --- Discrete or continuous framework --- p.17
Chapter 2.2 --- Work by Bertsimas and Lo --- p.18
Chapter 2.2.1 --- Formulation under Linear Price Impact --- p.21
Chapter 2.2.2 --- Formulation under LPT Law --- p.22
Chapter 2.2.3 --- Formulation under General Price Impact --- p.26
Chapter 2.2.4 --- Portfolio Case --- p.28
Chapter 2.3 --- A Series ofWorks by Almgren --- p.29
Chapter 2.3.1 --- Adaptive Arrival Price --- p.29
Chapter 2.3.2 --- Bayesian Adaptive Trading with a Daily Cycle --- p.32
Chapter 2.3.3 --- Mean-Variance Optimal Adaptive Execution --- p.36
Chapter 2.4 --- Work by Lin and Pena --- p.42
Chapter 2.4.1 --- Multiple Assets --- p.46
Chapter 2.5 --- A Series ofWorks by Forsyth --- p.48
Chapter 2.5.1 --- A Hamilton-Jacobi-Bellman Approach to Optimal Trade Execution --- p.49
Chapter 2.5.2 --- A Mean Quadratic Variation Approach --- p.55
Chapter 2.6 --- A Series ofWorks by Schied --- p.58
Chapter 2.6.1 --- Optimal Trade Execution in Limit Order BookModels --- p.58
Chapter 2.6.2 --- Optimal Trade Execution under Geometric BrownianMotion --- p.66
Chapter 2.7 --- Work byMoazeni --- p.69
Chapter 3 --- Model Setting --- p.71
Chapter 3.1 --- ExecutionModel --- p.71
Chapter 3.2 --- Coherent Dynamic RiskMeasures --- p.81
Chapter 3.3 --- Optimization Formulation --- p.84
Chapter 4 --- Solution Methodologies --- p.89
Chapter 4.1 --- BinomialModel --- p.89
Chapter 4.2 --- Linear Approximation --- p.92
Chapter 4.3 --- Numerical Results --- p.107
Chapter 4.4 --- Simulation Results --- p.110
Chapter 4.5 --- Efficient Frontier --- p.111
Chapter 4.6 --- CVaR Case --- p.113
Chapter 5 --- Conclusions and Future Research --- p.119
Chapter 5.1 --- Conclusions --- p.119
Chapter 5.2 --- Future Research --- p.121
Chapter A --- Equation Derivation --- p.124
Bibliography --- p.132

碩士
國立交通大學
管理學院碩士在職專班科技管理組
93
When corporation is operating, it would encounter operational risk, strategic risk and financial risk because of the uncertainty of environment. If corporation can take proper risk , corporation can build up core competence. However , corporation could fail if corporation does not manage risks properly. After the success of Taiwan’s semiconductor foundry industry , corporations are investing intensively to TFT-LCD industry by the same manufacturing-base core competence although they do not evaluate the strategic risk systematically. The objective of this research is to build up a ‘strategic risk management model’ by applying the concepts in financial engineering and to help Taiwan’s TFT-LCD TV corporations to develop optimal strategy portfolio for risk management. In this resarch, ‘strategic risk’ can be defined as factors which will effect the goal of the strategy. After applying ‘strategic risk management model’ to Taiwan’s TFT-LCD TV industry, the critical risks can be identified by this research. They are risk of marketing, risk of technology innovation and risk of intensive investment. This research suggests that Taiwan’s TFT-LCD TV corporations can form optimal strategy portfolio for these risks by proper risk handling techniques such as ‘risk exchange’ and ‘risk diversification’.

碩士
國立政治大學
風險管理與保險研究所
98
The mortality rate of human being has decreased year by year due to the improvement of medical and hygienic techniques. With the mortality improvement over time, life insurers may gain a profit and annuity insurers may suffer losses because of longevity risk. However, natural hedging is a feasible strategy to hedge mortality risk and interest risk at the same time. In this paper, we investigate the natural hedging strategy and try to find an optimal collocation of insurance products to deal with longevity risks for the insurance companies. Different from previous literatures, we use the experienced mortality rates from life insurance companies rather than population mortality rates. This experienced mortality data set includes more than 50,000,000 policies which are collected from the incidence data of the whole Taiwan life insurance companies. In general, insurance companies use population mortality rates to price life insurance and annuity products. Nevertheless, the mortality rate of annuity purchasers is averagely lower than that of life insurance purchasers. This situation leads to mispricing problem of both life insurance and annuity products. So in this paper, we can construct four mortality tables (gender, product) and investigate the correlation of these stochastic variation terms of four mortality rates. According to the correlation relation between these four mortality rates, we can offset the variance of portfolio’s change and difference of mispricing. On the basis of the experienced mortality rates, we demonstrate that the proposed model can lead to an optimal collocation of insurance products and effectively apply the natural hedging strategy to a more general portfolio for life insurance companies.

碩士
國立彰化師範大學
財務金融技術學系
104
Abstract This study uses Buffet’s, John Neff’s and Trinity Investment Management’s value investing principles to filter out the qualified value stocks by converting stocks every year, and create investment portfolios by those stocks, then compare the portfolios with stock market return rate to see if they bring any abnormal returns. The subjects for this study are Taiwan public limited companies from 2005 to 2014. Then, Treynor Index, Sharpe Index and Jensen Index are used to evaluate the performance of the portfolios, next evaluate the stock selection and timing ability of the portfolios by applying the models of Treynor and Mazuy (1966) and Change and Lewellen (1984), and finally evaluate the long-term performance of the portfolios. The empirical results show as follows: 1.The three value investing principles all bring positive abnormal returns, especially the significance level of John Neff’s principle is higher than Buffett’s. 2.As for the performance evaluation, Treynor and Jensen indexes both evaluate performance with systematic risk β and the result shows the investment portfolio created by applying John Neff’s principle has better performance. As regards Sharpe index, the investment portfolio created by applying Buffet’s principle has better risk diversification effect. 3.As for the stock selection and timing ability, in Treynor and Mazuy model, it shows the investment portfolio created by applying John Neff’s principle has better stock selection ability; besides, only the investment portfolio created by applying Trinity Investment Management’s principle has timing ability. On the other hand, in Change and Lewellen model, it shows only the investment portfolio created by applying John Neff’s principle has better stock selection ability; as for the timing ability, the three value investment portfolios all have timing ability. 4.As for the long-term performance evaluation, the investment portfolios created by the three value investing principles all show long-term positive performance, and among the three principles, in Taiwan’s stock market, John Neff’s principle is more suitable than Buffet’s for long-term holding.

碩士
國立屏東科技大學
財務金融研究所
101
The position of the investors to verify the modern investment Master’s surprisingly winning stock picking strategy in this study. Make good use of Warren Buffett combination of Peter Lynch wisdom their successful strategy. By analysis of the fundamentals to find the Value Stock and as the purpose of the investment. The selection of the company has the potential with the core of value Investing. Buy a reasonable price when the share price fell sharply. On the contrary, sell when the share price rose sharply. In this study,we take Price/Earnings Ratio, P/E、Price to Book Ratio,P/B、Price/Sales Ratio,P/S、Earning per share,EPS、Current Ratio 、Earnings Growth Rate for measurable indicators. The deeper meaning of depth behind the reported figures, the simple and profitable stocks election rule from the induction. To avoid errors,We execute the normal distribution test to screened out Value Stock. Using the Markowitz「Mean-Variance optimization」to obtain the Efficient Frontier, and portfolio performance evaluation. We can find a consequent of the empirical Investment Law in the Taiwan Stock Market in this study. Warren Buffett combined with Peter Lynch, elect the stocks which is stable growth of the company. Average more than 15% growth of the level in Returns on Equity every year. It can be transcend market index,when the portfolio performance is up to 10.29% the risk-free rate of investment performance. R / R Ratio and M2 Index to sixmonths of investment strategy obtain the best performance. Make funds in a safe and efficient market as a referable principle of stock picking strategy retail investors which in the Taiwan Stock Market.

The diploma thesis describes portfolio management with proportional transaction costs. The main aim is to describe using of shadow prices to find the optimal Markov policies keeping the proportion of the investor's wealth invested in the risky asset within the corresponding interval in order to maximize the long run geometric growth rate. On the real market, the investor must pay transaction costs when he buys/sells shares. In the diploma thesis we transform these prices into the shadow price; when trading in the shadow price there are no transaction costs. The solution itself is based on Itô formula and the martingal theory. The prices of shares are modeled as geometric Brownian motion. Powered by TCPDF (www.tcpdf.org)

碩士
銘傳大學
經濟學系碩士班
95
A new approach of technical analysis with respect to portfolio investment is suggested from this study, as it combines both the bull and the bear market portfolios without taking any hedging position from related derivative markets. At the beginning, a combinatory strategy of having both bull and bear market portfolios as the investment and the hedging positions or vice verse is empirically studied. However, it is found that this kind of investment strategy may be theoretically but not empirically applicable. Since both bull and bear market portfolios are negatively correlated with each other in nature, it is absolutely wise to take at a time only the right side to invest. Obviously, the key to make a successful execution is to have a good control on the timing of switch between the bull and the bear market portfolios, and this in turn, relies totally on the optimal data size to be used in the analytical work. Furthermore, in order to dissolve the concern of having no hedging position, applying additional stock price data in shorter tern for more analyses will be suggested from this study, and this also serves as the continued effort of this study in the future.

yes
Although IT-enabled dynamic capabilities (ITDCs) add value to firms operating in turbulent and rapidly changing environments, firms face several challenges in developing, deploying, and maintaining the right portfolio of ITDCs. Since ITDCs are not uniformly advantageous, firms need to make strategic decisions in order to accomplish the complex task of achieving optimal ITDC configurations. This conceptual paper draws on the strategic alignment perspective to identify the optimal configuration of ITDCs for a firm based on its business strategy orientation indicated by the Miles and Snow typology. This paper first explicates the theoretically ideal configurations of ITDCs based on the competitive strategy patterns associated with each Miles and Snow archetype and then develops a model for measuring the strategic fit of ITDCs. This paper contributes to the literatures on ITDCs and strategic alignment by identifying optimal ITDC configurations and by conceptualizing the strategic fit of ITDCs respectively.
The full text will be available at the end of the publisher's embargo: 24th May 2022

碩士
國立成功大學
建築學系
103
This research aims to establish a complete bidding strategy model when bidders have multiple bidding options. First, the bidding behavior was discussed by reviewing the literature, then the existing bidding strategy model was conceived. The applicability and advantage or disadvantage of the theory and required tools used for such a model was analyzed. The major problem of the bidding strategy was defined and the Optimal Bid Decision of Construction Portfolios Based on Integrated Bidding Strategy Model was then developed. Finally, the feasibility of the proposed model was validated by an individual case study, which was then compared with the highest expected utility of Carr. The result shows that the bidding suggestion obtained from the proposed model exhibits a higher expected utility, revenue and net present value, which is more accurate and practical.