本文運用不同風險、市場的債券指數作為投資標的，包含全球債、美國投資級債、歐洲投資級債、美國高收益債、歐洲高收益債以及新興市場主權債，運用risk parity、均等權重法、最小變異數法、最大化 Sharpe ratio配置建構投資組合。研究結果發現，risk parity 為四個配置中資產風險貢獻最為分散者，風險調整後報酬 Sharpe ratio 以及考量下方風險的 Sortino ratio 表現最優，且權重及週轉率較為穩健，為 4 種配置中最為適合放入債券投資組合建構之方式。

This article uses six different bond indexes as investment targets, including global broad market, U.S. investment grade, European investment grade, U.S. high-yield grade, European high-yield grade and Emerging market sovereign debt, using four asset allocation methods including risk parity, equal weight, minimum variance optimization, maximize Sharpe ratio allocation to construct investment portfolio. The results of the study found that risk parity is the most diversified of asset risk among four allocation methods. The risk-adjusted reward such as Sharpe ratio and Sortino ratio are the best, and the weights adjustment and turnover rates are relatively stable, which is the most suitable method to construct bond portfolio.

1. 前言 1
2. 文獻回顧 4
2.1改善預期報酬敏感之資產配置方法 4
2.2風險配置與資產配置 5
2.3風險配置優化 5
3. 研究方法 6
3.1債券指數資料與回測方式 6
3.2現代投資組合理論 9
3.3均等權重及均等風險權重理論 10
4. 實證結果 12
5. 結論 18
參考文獻 20

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