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論文中文名稱:運用兩階段決策技術於股票投資組合選擇 [以論文名稱查詢館藏系統]
論文英文名稱:Using Two-stage Decision Making Techniques in Stocks Portfolio Selection [以論文名稱查詢館藏系統]
院校名稱:臺北科技大學
學院名稱:管理學院
系所名稱:工業工程與管理研究所
畢業學年度:97
出版年度:98
中文姓名:林正峰
英文姓名:Cheng-Feng Lin
研究生學號:96378052
學位類別:碩士
語文別:中文
口試日期:2009-07-28
論文頁數:76
指導教授中文名:林榮禾
口試委員中文名:吳國棟;俞凱允
中文關鍵詞:多準則決策投資組合時間序列分析基因演算法主成份分析資料包絡分析
英文關鍵詞:Multiple Criteria Decision MakingPortfolioTime Series AnalysisGenetic AlgorithmPrincipal Component AnalysisData Envelopment Analysis
論文中文摘要:2008年金融海嘯造成美國華爾街五大投資銀行相繼停業或轉型,顯示業者投資決策存有瑕疵,導致虧損;2008年全球股市市值損失一半,約30.1兆美元,顯示股票市場詭譎多變,導致投資人損失慘重。投資人如何於險惡的股票市場進行理性投資決策實為一大難題,故本研究投資組合案例對於投資者而言更顯關鍵。
投資組合係一種以上的證券或資產所構成的集合,其目的在於投資人擁有有限資源的情況下,藉由購買證券或資產所構成的集合,達到規避風險的結果。投資組合最重要係如何擬定「資產配置」,即一組投資組合中,每一證券或資產該分配多少資金以進行投資。故該如何理性地決定投資組合的資產配置係本研究欲克服的目標。
唯投資組合之資產配置係多準則決策問題,決策者面臨許多準則彼此交互衝突,實無法存在一組理想解滿足所有條件,但卻可以根據決策者偏好以產生妥協解。本研究結合「多目標規劃」與「多屬性決策」的觀點提出兩階段模式,以此制定理性與客觀的選擇方案。研究結果顯示,本文所篩選的資產配置方案確實可以在可承受風險的情況下,獲取較高之報酬。
論文英文摘要:In 2008, the financial tsunami caused five major U.S. investment banks of Wall Street to close down or transit. It reveals that inappropriate investments cause deficits. A half of capitalization of global stock market has lost about 30.1 trillion U.S. dollar in 2008. It reveals that the volatile stock market easily makes heavy losses to investors. Therefore, how to invest rationally in the stock market with dangerous financial market is a major problem. It reveals this case of stock portfolio is even more critical for investors.
Portfolio is a set which is consisted of more than one asset or security, aimed at risk aversion when investors with limited resources. The most important action about Portfolio is that how to formulate asset allocation. That is, investors how to distribute capital to each asset or security in Portfolio. Therefore, how to decide asset allocation of Portfolio rationally is a goal which must be overcome by this study.
Asset allocation of Portfolio is a multiple criteria decision making problem. Decision maker faces much of criteria which conflict for each other, there is no ideal solution could meet all the conditions, but it can be generated a compromise solution according to preferences of decision maker. This study combines the views of "Multiple Objectives Programming" with "Multiple Attribute Decision Making" to form a two-stage model, and then exploit them to generate a rational and objective selection. The results showed that, the obtainable alternative of asset allocation could acquire higher return indeed with acceptable risk.
論文目次:摘要 i
ABSTRACT ii
誌謝 iv
目錄 v
表目錄 vii
圖目錄 viii
第一章 緒論 1
1.1研究背景動機 1
1.2研究目的 2
1.3研究流程 3
第二章 文獻探討 5
2.1投資組合 5
2.2時間序列分析 7
2.3基因演算法 9
2.4投資決策評估指標 10
2.5主成份分析 12
2.6資料包絡分析 14
2.7夏普指數 16
第三章 研究設計 17
3.1研究架構 17
3.2問題定義 18
3.3第一階段—搜尋非劣解 20
3.3.1時間序列分析之執行步驟 20
3.3.2基因演算法之參數設定 23
3.4第二階段—決定妥協解 26
3.4.1主成份分析之變數挑選 26
3.4.2資料包絡分析之模式選擇 28
第四章 案例分析 32
4.1投資組合資產選擇 32
4.2第一階段—搜尋非劣解 32
4.2.1個股股價趨勢預測 32
4.2.2產生分配權重集合 39
4.3第二階段—決定妥協解 42
4.3.1變數挑選 42
4.3.2決定分配權重 46
4.4參照Markowitz理論模式 49
4.5夏普指數比較 50
第五章 結論 52
5.1總結 52
5.2管理意涵 53
5.3未來研究建議 54
參考文獻 55
附錄一:個股每週平均股價(開盤價) 62
附錄二:個股每週平均股價(收盤價) 65
附錄三:投入變數 68
附錄四:產出變數 69
附錄五:個股週報酬率 71
附錄六:日報酬率 74
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