臺灣博碩士論文加值系統

指數股票型基金(Exchange-Traded Fund，簡稱ETF)成為投資者重要的投資工
具之一，本研究設計一個ETF 投資策略之應用架構，供開發者建置ETF 投資策
略系統，且可快速地將新的ETF 投資策略增加到系統中。投資者操作系統選擇
適用之ETF 投資策略，可得到系統提供的投資組合作為決策參考。本研究先依
投資決策過程分析ETF 投資策略，接著針對各ETF 投資策略及其投資規則，提
出一套共通流程及流程內所需基本功能。最後，依此共通流程及各功能提出三層
式的應用架構，說明架構中核心物件及執行流程，同時在系統基本功能提出設計
上建議，供使用者開發時有所參考。

壹、 研究緒論………………………………………………… 1
一、 研究背景及動機…………………………………………… 1
二、 研究目的…………………………………………………… 1
三、 研究範圍…………………………………………………… 1
四、 研究流程…………………………………………………… 2
貳、 文獻探討………………………………………………… 3
一、 指數股票型基金之探討…………………………………… 3
二、 投資策略之探討…………………………………………… 10
三、 應用架構之探討…………………………………………… 12
四、 設計樣式之探討…………………………………………… 13
參、 研究方法………………………………………………… 15
一、 研究架構………………………………………………… 15
二、 研究方法………………………………………………… 16
肆、 應用架構分析設計與結果……………………………… 20
一、 依投資決策過程分析ETF投資策略…………………… 20
二、 分析各ETF投資策略及其投資規則…………………… 23
三、 設定投資規則及ETF投資策略………………………… 24
四、 提出共通流程及基本功能……………………………… 25
五、 ETF投資策略應用架構………………………………… 35
六、 核心元件互動…………………………………………… 40
七、 基本功能設計…………………………………………… 43
八、 實際案例模擬…………………………………………… 46
伍、 結論與建議……………………………………………… 51
一、 研究結論…………………………………………………… 51
二、 研究限制…………………………………………………… 51
三、 未來研究方向……………………………………………… 51
參考文獻………………………………………………………… 52

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