Title page for etd-0727109-011901


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URN etd-0727109-011901
Author Ji-Hong Lai
Author's Email Address No Public.
Statistics This thesis had been viewed 5561 times. Download 19 times.
Department Finance
Year 2008
Semester 2
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title wealth management factor model
Date of Defense 2009-07-15
Page Count 102
Keyword
  • Wealth Management
  • Assets Allocation
  • Risk Budget
  • Style Analysis
  • Black-Litterman Model
  • Abstract The research aims to combine various quantity models to set up a working platform that can apply to the wealth management business, including the analysis of product’s return, reflection of investors' idiosyncrasy and construction of investment portfolio, building a succession of procedure hope to become the standard of the work.
    Regarding constructing the model, the style analysis, Black-Litterman Model and risk budget three quantitative method were adopted for three major pillars of wealth management factor model to disassemble the return of funds, allocate the assets and optimize manager structure. The materials range is from 2003 to 2007, use style analysis to disassemble the return of 115 funds that sell in Taiwan into 14 index. Incorporate investor's expectancy of market performance and suggest the assets allocation by Black-Litterman model. Join 14 index funds and 14 enhance index funds, carry on the disposition of the optimizing manager structures with the risk budget to determine the suggested fund portfolio finally. By selecting the funds with best total return in the past year forms the contrasting portfolio to compare the investment style of portfolio and characteristic of return with the models.
    Finding in the experience, contrasting portfolio is superior to suggested portfolio in active return only, both portfolios are similar in total return. In further consideration of the trade-off effect of return and risk in both portfolios, the suggested portfolio of the model is better than the contrasting portfolio either in IR or in Sharpe Ratio. In addition, if investors choose funds on the basis of total return, it may cause the style of whole portfolio too centralized throw the total risk in high level.
    Advisory Committee
  • Chin-Ming Chen - chair
  • Jhih-Sing Hong - co-chair
  • Yih Jeng - advisor
  • Files
  • etd-0727109-011901.pdf
  • indicate in-campus access in a year and off_campus not accessible
    Date of Submission 2009-07-27

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