教師資料查詢 | 類別: 會議論文 | 教師: 葉怡成 YEH, I-CHENG (瀏覽個人網頁)

標題:Building multi-factor stock selection models with experimental designs and multi-variable polynomial regression analysis – Empirical evidences from Taiwan stock market
學年106
學期2
發表日期2018/07/28
作品名稱Building multi-factor stock selection models with experimental designs and multi-variable polynomial regression analysis – Empirical evidences from Taiwan stock market
作品名稱(其他語言)
著者I-Cheng Yeh and Yi-Cheng Liu
作品所屬單位
出版者
會議名稱2018 International Conference on Multidisciplinary Challenges in Business Management and Social Science Theories (MCMS 2018)
會議地點Leisure Inn Hotel Le Shu, Shanghai, China
摘要Some literature adopted a weighted-scoring approach to construct the multi-factor stock selection model. However, this approach leads to two shortcomings. First, it cannot effectively identify the connection between the weights of stock-picking concepts and portfolio performances. Second, it cannot provide the optimal combination of weights of stock-picking concepts to meet various investors’ preferences. This paper aims to employ a mixture experimental design to collect the weights of stock-picking concepts and portfolio performance data, as well as to build up performance prediction models based on the weights of stock-picking concepts with multi-variable polynomial regression analysis. Furthermore, these performance prediction models and optimization techniques are employed to discover the optimal combination of weights of stock-picking concepts. The samples consist of all stocks listed in the Taiwan stock market. The 1997-2008 period and the 2009-2015 period are employed as the modeling period and the testing period. Empirical evidences showed that (1) our methodology is robust in predicting performance accurately, and can discover significant interactions between the weights of stock-picking concepts. (2) It can discover the optimal combination of weight of stock-picking concepts which can form stock portfolios with the best possible performances to meet investors’ preferences. Thus, our methodology is able to resolve the two shortcomings of classical weighted-scoring approach.
關鍵字Portfolio, weighted-scoring stock-pickings, mixture experimental design, multi-variable polynomial regression analysis.
語言英文
收錄於
會議性質國際
校內研討會地點
研討會時間20180728~20180729
通訊作者
國別中國
公開徵稿
出版型式
出處2018 International Conference on Multidisciplinary Challenges in Business Management and Social Science Theories (MCMS 2018)
相關連結
Google+ 推薦功能,讓全世界都能看到您的推薦!