過去文獻少有探討不動產的收益穩定性，多重視市場租金或市場空置率的變化，但隨著辦公大樓證券化投資風潮，個別大樓的租金和空置率變化，以及大樓租金收益穩定性成為投資的重要判斷指標，而其中租戶結構更是辦公大樓租金收益穩定的主要來源，也是大樓空置率的重要影響因子，成為本文研究之焦點。本文實地調查台北市主要辦公室商圈中90棟辦公大樓，並以三階段最小平方法（3SLS）聯立模型分析影響個別辦公大樓租金及空置率的因素，研究結果發現，空置率增加1%將使每坪月租金減少13.09元，但每坪月租金增加100元會造成大樓空置率上升1.55%。其次，平均每層租戶數目多、租戶平均面積大、租戶以外商公司為主體、企業平均利潤率高、「金融及保險、不動產及租賃、專業科學及技術服務業」等行業佔大樓面積比例愈高等因素，皆能有效降低辦公大樓空置率，使投資人的租金收益更穩定。由此可知，成功的辦公大樓投資或證券化，租戶結構對於空置狀況的影響應加以重視，方能確保未來擁有穩定的租金收益。 因不動產證券化發展，辦公大樓投資組合情況也應受到市場重視，本文以90棟辦公大樓進行兩兩任意組合模擬，在現有資料下，結果為相較於個別辦公大樓投資，若將辦公大樓採兩兩投資組合，能獲得較高報酬及較低風險。而分析組合內容可發現，重視大樓的建物品質比重視租戶品質更能達到效率組合，若選擇「好建物」的大樓納入投資組合中，將能提高組合的報酬；若選擇「好租戶」的大樓納入投資組合中，將能降低組合的風險。 / Previous literatures mostly focus on the change in market rental and vacancy rate of office buildings, but rarely discuss the rental income stability of real estates investment. However, with the prevalence of office building securitization as investment targets goes on, the rental income stability of individual real estates has become an important indicator for investment purposes. Among many, tenant structure, the main focus of this study, is the major source of income stability of office buildings, and also an important factor to building vacancy rate. This study makes researches of ninety office buildings in the major business areas of Taipei, applying three stage least squares(3SLS) methods to analyze the factors that affect the rental and vacancy rate of individual office buildings. The empirical results of this study suggest that increasing per 1% in vacancy rate shall make decrease monthly rent by 13.09 $NTD/ping and increasing per 100$ NTD/ping in monthly rent shall make increase1.55% in building vacancy rate. Moreover, there are many factors, such as the average number of tenants on per floor, average rental size from per tenant, foreign firms are the main tenants of office building, the average firm return rate, can all efficiently lower the vacancy rate of office buildings, and make rental returns more stable for investors. Besides, if the industries of finance and insurance, real estate and rental, science expertise and technical service make up a high proportion of total floor surface will lower the vacancy rate.Therefore we know that, for a successful office building securitization or investment, the effect of tenant structure on vacancy rate should be more recognized in order to ensure a future possession of stable rental returns. Due to the development in the Real Estate Securitization, the situations in portfolio of office buildings should receive its share of attention from the market. This paper simulates 90 office buildings into random pairs and finds out that, in contrary to stand-alone investments, investing in pairs shall yield a higher return at a lower risk. Analyzing the contents of the portfolio, we can find out that, paying more attention on the quality of the building rather than on the quality of tenants can more easily attain efficiency. Putting a “good building” into an portfolio shall increase return, and putting in a building with “good tenants” shall reduce risk.

在投資無國界的全球化金融市場下，國際市場的開放與整合平台的建立，使國內投資人可選擇更多的金融工具。傳統的投資項目多為股票、債券或平衡型商品，在獲利狀況不甚理想下，便開始尋求其他國際的投資管道或是金融商品加入其資產配置中，希望獲取穩定的報酬下，又能降低所承擔的投資風險將投資所需承擔的風險減低。 近年避險基金的投資績效及資產規模成長搶眼，挾著法令寬鬆與靈活運用的操作策略，以及投資範疇廣與市場連動性低等特性，創造出日益壯大的規模。我國積極致力於金融改革，除了監督管理制度面的改善，對於新興金融工具的開放，也是國內投資環境必須跟進的方向。未來在台灣若能開放設立避險基金之前，國內投資人與監管機關所擔負職責，皆應該對此種金融工具有深入的認識。 本研究透過四個概念的架構，去評估避險基金加入投資組合後，是否可以幫助投資人達成降低風險以及增加報酬之目標，以及身為資產管理者如何將避險基金納入其資產配置決策等相關考量；對國內金融主管機關而言，避險基金的開放或是投資限制的放寬是否是正確的金融政策方向，才能配以完善的監理機制與法令規範，使國內投資大眾在投資理財工具上更加完備。 實證結果分析發現，在研究期間避險基金的確可以幫助投資組合之效益提升，但是加入總體情境時，其對投資組合的幫助卻不一致，只有在空頭期間的效果明顯。另外發現沒有避險基金相關之投資限制下的投資組合，其夏普指數高於有限制的投資組合；在避險基金限制放寬下，效率前緣往左上角移動，推論放寬避險基金限制該是正確的金融政策。最後，本研究也發現以機構投資法人而言，避險基金加入投資組合能幫助達到絕對報酬。 / Under the global financial market, which has broken the boundaries between nations, domestic investors now have more choices of financial instruments than they did before. Therefore, besides traditional domestic investment vehicles, such as stocks or mutual funds, domestic investors have started seeking other instruments to enhance their portfolio, pursuing better risk-return profile. In recent years, hedge fund’s performance and assets size have both grew impressively by capitalizing on deregulations and various trading strategies of its own. Besides the improvement in financial supervision system, deregulation and capitalizing on newly innovated financial instruments are also important to the reformation of Taiwan’s financial market. Before hedge funds can be legally raised in Taiwan, both domestic investors and market supervisors should equip themselves with adequate knowledge about this important instrument. By analyzing the four concepts in the third chapter, the research intends to evaluate whether investors can enjoy better risk-return profile by adding hedge funds into their portfolios. Also, the research objective is to provide suggestions to fund managers as they consider their assets allocation. Finally, we want to evaluate whether it is correct for Taiwan to open up to hedge funds, therefore the government can establish feasible supervision system to protect domestic investors’ rights. The research has found that hedge funds could indeed benefit the portfolio during the time period under consideration. However, hedge funds did not have significant effect on the portfolio as macroeconomic scenario was taken into consideration. In the scenario, hedge funds have significantly positive effect on the portfolio only under a bearing market. Furthermore, the research found that the portfolios with less limitation on hedge fund investment can enjoy better Sharp Ratios than those with striker limitation on hedge fund investment. Since the efficiency frontier moved upper left as we reduced the limitation on hedge fund investment in the research, we may conclude that an open-up to hedge funds should be the correct direction for our financial policy. At last, the research also found that institutional investors can get absolute return by adopting hedge funds in their portfolios.

自Markowitz(1952)提出平均數-變異數準則以來，對於該準則適宜性的討論即不曾停止過。許多實證上資料顯示資產報酬率分配不為常態，而越來越多學者也對於高於二階以上之高階動差對投資決策之影響提出證實。本文利用臺灣八大類股指數報酬率分配資料，運用多目標規劃求解法進行實證，發現臺灣股票市場呈現顯著峰態性質，此外，本文樣本外試驗結果亦指出，平均數-變異數-偏態-峰態架構下之最適投資組合的報酬率高於傳統平均數-變異數架構下之最適投資組合以及大盤報酬。

本研究根據Phillips, Wu and Yu (2011)以及後續相關文獻所提出的檢測泡沫模型對台灣市場以及NASDAQ指數進行實證研究。本文使用的模型分別為PWY模型、PSY模型、Rolling Window ADF，以及我們參考PSY模型與Rolling Window ADF所建構出的Rolling Window BSADF。我們利用上述四種模型對NASDAQ指數進行泡沫檢測，以及在台灣上市公司股票中建構投資泡沫投資組合與不投資泡沫投資組合。實證結果顯示投資泡沫投資組合績效優於不投資泡沫投資組合，此結果與Guenster et al. (2009)相同，同時本研究所建構的Rolling Window BSADF在投資績效上優於另外三種模型；此外對NASDAQ指數的檢測發現Rolling Window BSADF 具有檢定結果獨立於起始點的選取與不受週期性泡沫破裂影響等優點，故綜合以上實證結果，Rolling Window BSADF 對於泡沫的檢測與建構泡沫投資組合的績效明顯優於另外三種模型。 / This paper used the bubble examination model according to Phillips, Wu and Yu (2011) and following papers to conduct empirical research on Taiwan market and NASDAQ index. The models used in this paper are PWY model, PSY model, Rolling Window ADF and Rolling Window BSADF that referred to the PSY model and the Rolling Window ADF. We tested NASDAQ index through the above models to test the bubbles, and constructed the portfolio of investing bubbles against not investing. The result shows that the portfolio of investing bubbles performs better than not investing bubbles, which is the same as the result of Guenster et al. (2009). In addition, the Rolling Window BSADF constructed by this paper are superior to the other three models on the performance of investment. Moreover, the examination of NASDAQ index finds that there are some advantages of Rolling Window BSADF including that the test result is independent of the selection of the initial point and not affected by the broken of cyclical bubbles and so on. To sum up, this paper concludes that the bubble examination and the construction of bubble investing portfolio of the Rolling Window BSADF are significantly better than the other three models.

本研究以在台灣期貨交易所上市之台灣證券交易所加權股價指數期貨、電子類股價指數期貨、金融類股價指數期貨為研究對象，探討從88年7月21日開始至89年4月19日為止，此三種本土指數期貨是否存在著套利機會。研究中將考量實際套利過程中面臨之交易成本，以建構理論價格之無套利區間，並進一步分析期貨價格與理論價格間之價差、套利機會出現頻率及其獲利空間之大小。而在套利交易過程中，由於無法一次的大量買進所有的現貨指數成份股，因此嘗試以模擬投資組合方式，建構套利現貨部位，並同時分析其模擬現貨指數之效果。最後再根據套利機會實證結果，說明國內期貨市場之有效性，並分析套利交易過程中可能面臨的套利風險。 實證研究結果獲致之結論如下： 1.台股、電子、金融指數模擬投資組合之模擬誤差平均分別為0.3335％、0.1620％、0.0730％，能夠有效的複製現貨指數之走勢。特別是電子及金融組合，其組合報酬幾乎與現貨指數同步。 2.台股期貨在考慮交易成本後，其套利機會大幅減少。 3.電子期貨價差套利機會稍多於逆價差，套利機會總共出現了76次，獲利幅度平均達0.72。 4.金融期貨套利機會總共出現了110次，幅度平均為0.75％，其中絕大部分為正價差套利機會，出現次數高達105次。 5.台股期貨較符合市場有效性之條件，電子、金融期貨則由於其套利機會出現頻繁，獲利幅度較大，其期貨市場較不具備有效性。造成此種差異之原因，可能在於從事電子、金融期貨套利交易時，投資者將面臨較大的套利風險。

本論文使用大中取小原則及目標規劃技術，提出建構投資組合的數學規劃模型。要求此投資組合面對於不確定的股市，能夠在控制風險最小的情況下穩定且具有成長性的獲利。論文內探討如何透過數學的限制式來控制風險，而又能兼顧穩定且具有成長性的獲利，同時模型也可針對不同投資者的需求設定其數學規劃模型。最後以台灣股票市場做為實證分析的對象，給予不同的參數設定來驗證投資組合的表現。實證發現若以期初的配置比重持有到投資期間結束，此投資方式的績效欠佳。因此論文中進一步探討最佳的調整週期，實證顯示每經過8週，根據最新的資訊，重新調整建立新的投資組合，投資績效最好。 / This thesis proposed a mathematic programming model to construct a growth portfolio by using the mini-max principle and goal programming technique. The constructed portfolio is required to minimize the risk and to earn a stable profit under uncertain market. In the thesis, we discussed how to control the risk and maintain the growth of the portfolio by using the linear constraints. The proposed model also provides several parameters setting to meet the different investors' requirement. Finally, an empirical study will be provided by using the data from Taiwan’s stock market. The portfolios are constructed by giving different parameters and the performances are reported. The empirical study showed that holding a portfolio through the entire investment period without rebalance yield the performances that are not good. Therefore, the rebalance timing is investigated and the empirical study showed that a portfolio with rebalance strategy by every 8 weeks yield the best performance.

本論文研究股票分類與否對投資組合報酬有無差別，因此以目標規畫方式提出兩個混合整數線性規劃模型建立投資組合。在考量市場風險上，兩模型的差別在於一個是單股比重的限制，另一個是類股數目的限制。兩模型中均考慮交易數量為整數與實務中的交易成本，且採用了0-1決策變數，決定股票及類股的選取與否。並以台灣股票市場作為實證研究對象，探討兩模型投資組合在市場不同走勢下的表現，同時也觀察股票分類後，探討選幾個類股數會有較佳的績效，並分析投資組合建立後多久應該進行調整。 / This thesis studies the effect of return of a portfolio while restricting the number of asset category. Two mixed-integer linear programming models are proposed by using the goal programming technique. In consideration of the risk, the difference between these two models is that one focuses on a single stock restriction, and the other is on the asset category restriction. The integer restriction and transaction cost are included in the model while using binary decision variable to indicate the selection of an asset and the selection a category. Finally, an empirical study will be presented by applying to Taiwan’s stock market. The performances of these two models are discussed. Moreover, the best number of category in the portfolio and the best timing of rebalance are also investigated.

關於Merton (1969) 最適投資組合策略問題，所考慮之投資情境為：一個將其財富資金安排配置於風險性資產(各類證券)與無風險短期現金部位之投資人，在給定此投資人心目中財富效用函數之前提下，希望事先決定出投資組合之最適投資權重(策略)，藉此達成在投資期滿時極大化財富效用之期望值。基於Merton (1974) 公司價值觀點，具有違約風險之證券(公司債與股票)乃是公司價值之衍生性商品，無法以傳統資產配置對股票與債券部位採取現貨方式處理最適投資策略，在此必需同時結合財務工程處理衍生性金融商品計價與避險之技術來解決。本研究利用Kron & Kraft (2003) 彈性求解法來針對市場是否有投資限制、債券提前違約、到期違約及利率隨機與否等假設，基於不同投資組合情境分析來最適投資部位策略。本研貢獻和究創新突破之處在於特別探討公司違約時，債券投資人不再享有全部公司殘值之求償權，此時股東亦享有部份比例之求償權，違約後之公司殘值將由債券投資人與股東兩者比例共分之特殊情境下，對數型態財富效用之投資人對於提前違約風險之接受度高於到期違約風險，若一般情境(股東無任何求償權)則為相反。此外亦特別提供最適成長投資組合之動態避險策略封閉解，藉以提供投資人面臨企業違約風險時應制定之投資決策與動態調整，使本研究臻至週延與實用。 / Under the Merton (1969) optimal portfolio problem, we only consider the specific investor, whose wealth utility follows the type of logarithm function; wants to maximize the expected value of the terminal wealth utility through determine the optimal investment strategy in advance. He divides his wealth into the riskless asset and risky assets such as the money market account and the various-risky securities issued by the corporate. Based on the Merton firm value framework (1974), the defaultable securities, such as the corporate bonds and stocks, are the derivatives instruments of the firm value. It will be inappropriate if we deal with this optimal portfolio problem under the original methods. Therefore, we need to handle this optimal asset allocation problem through the pricing, valuation and hedging techniques from the financial engineering simultaneously. This study apply the elasticity approach to portfolio optimization (EAPO, Kraft ,2003) to solve the optimal portfolio strategy under various scenarios, such as the market contains the investment constrain or not, intermediate default risks, mature default risk, interest rate risky under the stochastic process. The innovation and contribution of this paper are especially breaking the common setting and analysis the optimal-growth-portfolio strategy under the special scenario. In the common setting, as soon as the default event occurs, the residual firm value will be claimed by the corporate bondholders with fully proportion and the stockholder cannot share any residual value. Oppositely, the stockholder will be able to share the residual firm value proportionally with the corporate bondholder together under the so-called special scenario. We found that the investor would have higher acceptance of the premature default risk than the mature default risk in the special scenario. This phenomenon will be reversed under the common scenario. Furthermore, in order to make this study more completely and useful, we do not only illustrate the optimal investment strategy but also provide the closed-formed solution of the dynamic hedge strategy of the risky position, composed by the defaultable securities. This could help the optimal-growth-portfolio-oriented investor to make investment decision while they face the firm value downward decreasing.

近十年來，由於金融商品價格波動的劇烈衝擊，而引發許多重大金融事件與危機，再加上我國預計於明年正式實施新巴塞爾資本協定，各金融機構無不卯足全力，重新審視其風險衡量能力。而為了正確且有效地掌握風險曝露情況，金融機構最常採用的市場風險衡量方法，便是風險值（Value at Risk）與壓力測試（Stress Testing）兩大工具。 本論文的主要目的有二：第一、藉由介紹常見的風險值計算方法與壓力測試方法，並探討其優缺點及限制，希望能讓金融機構的風險管理者對其有更深一層的認識。第二、風險值法雖能衡量一般情況下的可能損失，但通常引發金融危機的主因，多是極端損失所造成的強大壓力，故本文透過搜集實際的市場資料，針對過去曾發生的壓力事件，檢驗三種風險值計算方法與兩種壓力測試，在壓力情境下是否仍能準確、有效地衡量風險。 最後透過本文的理論闡述與實證分析結果，希望能在前述五種風險衡量方法中，找出一較為有效的壓力損失衡量方法，提供予金融機構的風險管理者，幫助其更靈活運用風險管理工具，進而提昇國內金融機構的競爭力。

隨著台灣將近五十多年來的經濟成果展現，企業界發展蓬勃興盛，加上全球投資理財風氣鼎盛，資金回流到亞洲新興地區，也造成台灣個人財富的迅速累積。除了外商私人銀行搶盡時機、技術優勢，做台灣富人的生意外，近幾年來，台灣本土金融業者也競相推出財富管理業務，期望掌握潮流、開拓先機。 而這些富人們對銀行財富管理的要求是：“投資理財的「客觀建議」、提供跨越世代的理財諮詢顧問，讓財富能穩定成長、夠世代傳承”。因此，銀行財富管理方案最重要的一環，是因應客戶理財目標要求，幫助其對資產進行妥適配置，以實踐穩定均衡的績效。而所謂績效的均衡，意謂回報穩健加上不確定性小，換句話說，即是在相同獲利水準表現之下，風險較低。 隨著二十一世紀與時俱進的新金融商品與財務工程發展，本報告將探索在要求兼顧財富穩定成長與風險最小的原則下，有關選擇權系列的新金融商品，如何創造出最佳資產搭配效果或改變投資組合損益曲線，提昇原有投資組合的報酬率，進行積極面的投資組合與防禦面的風險管理，有效增裕資產價值並防範減損資產損失，達成客戶”維持財富穩定成長、夠世代傳承”的要求。 其他廣泛的財富管理策劃方案，例如房地產投資，黃金白銀、藝術品蒐購等實體資產配置，或保險、信託、養老、遺產、節稅等理財規劃，都不屬於本報告研究範圍。