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研究生:王傳凱
研究生(外文):Wang, Chuankai
論文名稱:台灣股市投資組合交易決策之研究
論文名稱(外文):Taiwan’s Stock Market Investment Portfolio Management Decision Making
指導教授:施光訓施光訓引用關係林靜雯林靜雯引用關係
指導教授(外文):Shih, KuangshihLin, Chingwen
口試委員:施光訓林靜雯蔡明春林淑萍吳中峻
口試委員(外文):Shih, KuangshihLin, ChingwenTsai, MingchunLin, ShupingWu, Chungchun
口試日期:2012-06-26
學位類別:碩士
校院名稱:國立宜蘭大學
系所名稱:應用經濟與管理學系經營管理碩士班
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2012
畢業學年度:100
語文別:中文
論文頁數:101
中文關鍵詞:投資策略投資組合灰色理論資料包絡分析
外文關鍵詞:Investment strategiesinvestment managementgrey modeldata envelopment analysis
相關次數:
  • 被引用被引用:2
  • 點閱點閱:164
  • 評分評分:
  • 下載下載:22
  • 收藏至我的研究室書目清單書目收藏:0
台灣約70%以上的股票參予者是個別投資人,由於資訊的問題往往造成散戶投資人無法獲得預期的報酬。本研究之研究期間為2011年1月至12月,為期一年,並以共同基金市場中之國內投資型基金作為樣本,首先利用資料包絡分析法來選取績效之最佳者(即績效值為1),再從最佳基金中選取出個別之「前五名持股數」,並使用灰關聯分析從中篩選出排序為前五名之股票,最後利用此前五名之股票,以每月100萬為資金,進而建立最適之投資組合。其結果顯示,除3月、8月、10月份之平均報酬率略低於大盤外,其餘皆優於大盤報酬率。因此本研究希望能因此模型使股市投資人在選擇投資標的時做為選擇的參考。
More than 70% of the stock market investors are individual investors. It is difficult for individual investors to select market information to get the expected portfolio return. This study select 2011/1 to 2011/12’s domestic stocks mutual funds data. First, the study applying domestic investment funds into DEA(data envelopment analysis) in order to select the best performance group (Ek = 1) in Taiwan mutual fund market. Secondly, using grey relational analysis into select the top five weighted from the best performance group then compute the ranking of target stocks from best perform group. Finally, deciding to holding position of the top five-ranked stocks to creat a new portfolio. As the result, most of the return are out performance market. The model hopefully provides the best choice of investment portfolio and optimal holding position of stocks to the investors as an effective investing reference.
摘要
Abstract
第壹章 緒論
第一節 研究背景與動機
第二節 研究目的
第三節 研究架構與流程
第貳章 文獻探討
第一節 基金績效之評估
第二節 基金績效之持續性
第三節 投資人對投資市場之偏好
第参章 研究方法
第一節 資料來源
第二節 DEA-BBC
第三節 灰色關聯度分析
第四節 研究方法流程
第肆章 實證分析
第一節 樣本選取與期間
第二節 基金績效評估
第三節 灰關聯分析
第四節 投資月報酬─買強
第五節 投資月報酬─賣弱
第伍章 結論與建議
第一節 研究結論
第二節 研究建議與限制
參考文獻
附錄一. 國內股票型共同基金明細
附錄二. 2011年1月技術指標之灰關聯分析(全表)
附錄三. 2011年2月技術指標之灰關聯分析(全表)
附錄四. 2011年3月技術指標之灰關聯分析(全表)
附錄五. 2011年4月技術指標之灰關聯分析(全表)
附錄六. 2011年5月技術指標之灰關聯分析(全表)
附錄七. 2011年6月技術指標之灰關聯分析(全表)
附錄八. 2011年7月技術指標之灰關聯分析(全表)
附錄九. 2011年8月技術指標之灰關聯分析(全表)
附錄十. 2011年9月技術指標之灰關聯分析(全表)
附錄十一. 2011年10月技術指標之灰關聯分析(全表)
附錄十二. 2011年11月技術指標之灰關聯分析(全表)
附錄十三. 2011年12月技術指標之灰關聯分析(全表)
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