具風險考量之距離基礎多階段多準則決策模型之研究 ─ 全球基金績效評比之應用

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doi:10.6846/TKU.2016.00928

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具风险考量之距离基础多阶段多准则决策模型之研究 ─ 全球基金绩效评比之应用

A Study on Distance-based Multi-stage MCDM Models with Risk Consideration : An Applications to Global Fund Evaluation

阚敏真 , 硕士　　导师：时序时　　共同指导教授：缪震宇

繁体中文 DOI： 10.6846/TKU.2016.00928

展望理论； TOPSIS ；全球基金；夏普指标；打击率；多阶段决策；统计检定；敏感度分析；模拟分析； Prospect Theory ； TOPSIS ； Global Fund ； Sharpe index ； Batting rate ； Multi-stage MCDM ； Spearman test ； Sensitivity Analysis ； Simulation

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摘要 │ 参考文献 (80) │ 国际计量

摘要〈TOP〉

并列摘要〈TOP〉

This study aims to improve the Technique for Order Preference by Similarity to Ideal Solution (TOPSIS) model which is based on S-sharped value function in prospect theory, in order to establish two Distance-based Multi-stage MCDM Models included risk consideration. Examples of Global Fund are evaluated by two types of periods purchased in Taiwan.
The study uses the concept of Distance-based in TOPSIS, transferring the S-sharped value function in prospect theory. To consider risk preference in TOPSIS, we employ PIS (positive ideal solution) and NIS (negative ideal solution) as two reference for gains and losses in the modified TOPSIS. Furthermore, we build another model which utilize the concept of net gain. In the direction of realizing the long-term fund performance, we take research data as Global Fund in the years of 2015 normal time and 2008 financial crisis. Then we use batting rate and Sharpe index to test fund performance in different periods, and in these three models (TOPSIS model, distance-based risk TOPSIS model, distance-based net gain model). We test correlation of three models, and compare them by adjusting weight criteria, such as sensitivity analysis and simulation.
As a result the two modified models are more adequate in 2008 financial crisis case than TOPSIS model; however, TOPSIS model is fitted in 2015 normal time by month investment. Although the result in season investment is contrary to month investment, the performance in season investment is better than month investment. For effective investing funds in normal time, season investment is suitable for three methods to evaluate funds performances; especially, two modified models are better than TOPSIS model. Spearman test shows that the ranking of two modified models are correlated with TOPSIS model. Sensitivity analysis and simulation specify that two modified models are more stable when weight criteria changed. Through the study, the two modified models are regarded as practical tool and can be used in today’s financial market. It is effective for decision making to deal with fluctuation data.

参考文献 ( 80 ) 〈TOP〉

王若竹 (2014)，「台湾共同基金投资人处分效果之研究」，台北科技大学经营管理系硕士班学位论文，台北。
连结：
林哲鹏 (2013) 当代投资学，华泰文化，台北。
连结：
Abdellaoui, M., Bleichrodt, H., & Paraschiv, C. (2007). Loss aversion under prospect theory: A parameter-free measurement. Management Science, 53(10), 1659-1674.
连结：
Ajukumar, V. N., & Gandhi, O. P. (2013). Evaluation of green maintenance initiatives in design and development of mechanical systems using an integrated approach. Journal of Cleaner Production, 51, 34-46.
连结：
Alimi, A., Zandieh, M., & Amiri, M. (2012). Multi-objective portfolio optimization of mutual funds under downside risk measure using fuzzy theory. International Journal of Industrial Engineering Computations, 3(5), 859-872.
连结：

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引用含有DOI的文献

DOI可强化引用精确性、增强学术圈连结，并给予使用者跨平台的良好使用经验，目前在全世界已有超过五千万个对象申请DOI。 如想对DOI的使用与概念有进一步了解，请参考 （ ） 。

DOI可强化引用精确性、增强学术圈连结，并给予使用者跨平台的良好使用经验，目前在全世界已有超过五千万个对象申请DOI。如想对DOI的使用与概念有进一步了解，请参考（）。