# 臺灣博碩士論文加值系統

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 在很多領域上投資組合選擇的概念都被不斷地應用，隨著電腦資訊科技的蓬勃發展、作業研究與統計的方法廣泛地被使用。在財務投資的應用上，被常被應用的模型為Mean-Variance 模型，用來找出標物的投資部位。除此之外，很多數學模型是以評估公司的基本面與股價，先評斷股票的價值再來決定一組投資標的，這一類投資方法，我們把它歸類為前向式(Forward-type)組合選擇法。相反地，本研究使用逆向式(Backward-type)組合選擇法，以組合屬性為考量，將組合屬性分成獨立、相關、綜效組合屬性三類，並納入公司基本面的狀況來建立投資組合指標。並以隨機抽樣方式建立一組資料，以組合績效為標地，應用Partial R2 統計量來量化與評估投資人對當期組合屬性偏好的程度。最後再以建構好的投資組合指標為目標式，並依照不同的綜效屬性建立兩組不同的數學模型來找出最佳的投資組合部位。本研究以台灣股市八個產業中的六十四支股票為小樣本建構投資組合，經由比較發現建立的模型其長期績效的表現不差並發現綜效屬性的考量，對投資標的選擇有正向的影響。
 Portfolio selection methods are developed in many fields. Many techniques and mathematical models are used to settle related problems based on mean-variance model developed in the stock markets. Many researches focus on evaluating items and formulate portfolio from good items and the methods belong to forward-type. On the contrary, this study aims to use “backward-type” portfolio selection method. In the perspective of backward-type selection, this thesis identifies the portfolio attributes into three categories such as independent, interrelated and synergistic portfolio attributes. Other than the mean-variance model considers the risk as the selected criteria. The thesis used the performance (i.e. future return) what the investor emphasized as the target. By the statistic of partial R squares from stepwise-regression method toward performance, the investors’ attitude (i.e. relative importance) of each attribute is obtained periodically and the evaluation index is constructed. Based on the index, the study then constructed multi-criteria mixed-integer quadratic programming model and quadratic programming by different definition of synergistic attributes to obtain invested position of stocks in the portfolio. Finally, This study will have illustrations in Taiwan Stock market and find that the backward-type selection methods, company profitability and synergistic attribute including in the model will have good performance.
 iTable of ContentsChapter 1 Introduction ...................................................................................................11.1 Background and Motivation ................................................................................11.2 Research Aims .....................................................................................................31.3 Overview of this study .........................................................................................3Chapter 2 Literature Review..........................................................................................42.1 Related portfolio selection problem.....................................................................72.2 Characteristics of portfolio selection .................................................................112.3 Behavior of the stock market .............................................................................162.4 Portfolio selection model in stock market .........................................................21Chapter 3 Constructing Portfolio Index and Modeling................................................243.1 Sample Data .......................................................................................................273.2 Identify Objectives, Portfolio Attributes and Formulate Evaluation index .......283.2.1 Identify Portfolio Attributes........................................................................283.2.2 Formulated Evaluation index......................................................................303.3 Estimating the item attributes ............................................................................313.4 Constructing the Evaluation index.....................................................................333.5 Mathematical model...........................................................................................37Chapter 4 Numerical Study..........................................................................................424.1 Case1: Monthly data problem............................................................................424.1.1 Evaluate the preference...............................................................................424.1.2 Performance Evaluation..............................................................................464.2 Case2: Quarterly data problem ..........................................................................494.2.1 Performance Evaluation..............................................................................50Chapter 5 Conclusion and Further Research ...............................................................53Reference .....................................................................................................................55iiList of FiguresFigure2.1 The concept of forward and backward selecting methods ............................8Figure2.2 Procedure of one-period portfolio selection ................................................17Figure3.1 Research framework....................................................................................25Figure3.2 Relationship among objective, portfolio and item attributes.......................28Figure3.3 Procedures of estimating relative importance .............................................33Figure4.1 The monthly performance of the proposed and traditional models.............47Figure4.2 The Geometric return of the proposed and traditional models....................49Figure4.3 The performance of proposed and traditional models.................................51Figure4.4 The Geometric return of the proposed and traditional models....................52List of TablesTable2.1 Methods in the project selection and portfolio selection ..............................10Table2.2 Typical methods of predicting stocks performance ......................................19Table2.3 Extended portfolio selection method based the mean-variance model.........22Table3.1 Dependent and independent variable ............................................................34Table3.2 Formulated each portfolio attributes in objective for MIQP model..............38Table3.3 Formulated each portfolio attributes in objective for QP model...................41Table4.1 Summary of the Stepwise Regression for MIQP model in period 1.............43Table4.2 Summary of the Stepwise Regression for MIQP model in period 2.............44Table4.3 Summary of the Stepwise Regression for QP model in period 1..................45Table4.4 Summary of the Stepwise Regression for QP model in period 2..................45Table4.5 The performance of proposed and traditional models...................................47Table4.6 The performance of the proposed and traditional models.............................50Table4.7 Pair-t test of the performance with proposed and traditional model.............51
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 1 各國股市關聯性對國際投資組合的影響 2 以亂數基礎分類法+聚類規則在半導體產業之最佳投資組合之實證

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 1 演化式計算在不同風險偏好之投資組合最佳化之研究－以台灣摩根指數股投資組合為例 2 發展倒推式超投資組合架構以評估多層投資組合相互作用關係─以餐點組合為例 3 使用熵來建構分散化投資組合 4 共同基金動態投資組合績效：從基金持股與買賣交易建構股票投資組合 5 資產配置投資組合之探討-以台灣國內外基金為例 6 應用資料包絡分析法與多目標規劃建構最佳化投資組合 7 投資組合的最適持有期間研究 8 以資本資產定價模式探討投資組合選擇之多評準決策 9 分散投資組合真的是散戶之最佳決策嗎?散戶投資組合集中程度與績效的關係 10 運用基因演算法及投資組合理論建構可接受風險下的較佳投資組合 11 金融資產投資組合風險值衡量~以台灣股市債市投資組合為例 12 最小變異投資組合績效研究:以消費者信心指數建構買進且持有的投資組合 13 多父代遺傳演算法於投資組合決策模型之分析研究 14 台股投資組合選股與操作策略之研究 15 利用夏普指數與殖利率選股之投資組合分析

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