| Abstract: | 本研究以波動擇時策略(volatility timing strategy)為架構，從兩個層面探討股票(E-mini S&P 500)、債劵(美國10年期公債)之最適投資組合權重分配之績效。具體而言，本文採用靜態模型、CC-GARCH模型與DCC-GARCH模型配適極小化變異與極大化報酬投資組合策略，並運用夏普比率與經濟價值，探討比特幣與黃金何者較能提升投資組合之績效，接著研究在考慮交易成本的情況下，根據過去學術文獻及實務上的做法，探討如何建立投資組合的最適再平衡策略。
本文實證結果發現，當比特幣帶入波動擇時策略，即極小化變異與極大化報酬投資組合時，估算得出的夏普比率抑或經濟價值，皆比黃金佳。可以看出當投資人將比特幣納入股債投資組合後，帶來的效益比過去許多文獻上所使用的黃金來的好。而在建立投資組合的最適再平衡策略時，本文使用三種不同的再平衡策略。實證結果指出，在考慮了不同的交易成本與三種再平衡策略下，策略二：若股票計算出的權重與原本的權重差異超過3%，則決定調整權重。其所評估的夏普比率與報酬率最佳，因此當為最適再平衡策略。
This study uses volatility timing strategy as the framework to to discuss or to investigate the performance of the optimal portfolio weight allocation for stocks (E-mini S&P 500) and bonds (U.S. 10-year T-Note) from two levels. First of all, this study uses static models, CC-GARCH models and DCC-GARCH models to fit the portfolio strategy of minimizing variation and maximizing returns, and uses the Sharpe ratio and Economic Value to explore which Bitcoin or gold can improve, and then discuss how to establish the most appropriate rebalancing strategy for the investment portfolio based on past academic literature and practical practices, taking into account transaction costs.
The empirical results show that when Bitcoin is added to the volatility timing strategy, the estimated Sharpe ratio or economic value is better than gold. It can be seen that when investors incorporate Bitcoin into their equity and debt portfolios, the benefits they bring are better than the gold. When establishing the optimal rebalancing strategy for the investment portfolio, this study uses three different rebalancing strategies. The empirical results show that, taking into account different transaction costs, strategy 2: If the calculated weight of the stock differs from the original weight by more than 3%, it is decided to adjust the weight. The Sharpe ratio and rate of return evaluated by it are the best, so it should be the most suitable rebalancing strategy. |
