本論文提出追蹤特定目標線的二階段混合整數非線性隨機規劃模型，以建立追蹤目標線的投資組合。藉由引進情境樹(scenario tree)，我們將此類二階段隨機規劃問題，轉換成為等價的非隨機規劃模型。在金融商品的價格波動及交互作用下，所建立的投資組合在經過一段時間後，其追蹤目標線的能力可能會日趨降低，所以本論文亦提出調整投資組合的規劃模型。為符合實務考量，本論文同時考慮交易成本、股票放空的限制，並且加入期貨進行避險。為了反應投資者的預期心理，也引進了選擇權及情境樹。最後，我們使用台灣股票市場、期貨交易市場及台指選擇權市場的資料進行實證研究，亦探討不同成長率設定之目標線與投資比例對於投資組合的影響。 / To construct a portfolio tracking specific target line, this thesis studies how to do it via two-stage stochastic mixed-integer nonlinear model. We introduce scenario tree to convert this stochastic model into an deterministic equivalent model. Under the volatility of price and the interaction of each financial derivatives, the performance of the tracking portfolio may get worse when time elapses, this thesis proposes another mathematical model to rebalance the tracking portfolio. These models consider the transactions cost and the limitation of shorting a stock, and the tracking portfolio will include a futures as a hedge position. To reflect the expectation of investors, we introduce scenario tree and also include a options as a hedge position. Finally, an empirical study will be performed by the data from Taiwan stock market, the futures market and the options market to explore the performance of the proposed models. We will analyze how the different benchmarks settings and invest ratio will affect the value of the tracking portfolio.

本文以「新現實主義」(neorealism)，或被稱為「結構現實主義」(structural realism)做為研究途徑，從國際政治系統層次體系，探究美國在二十一世紀後，所進行的東亞軍力調整。本文首先檢視二十一世紀後東亞戰略環境，以及美國的兩位總統，小布希(George W. Bush)，以及歐巴馬(Barrack Obama)，的面對這樣的東亞安全環境，採取的戰略與政策儘管有不同，但同樣在軍事及外交上，強化與東亞國家之關係，藉以建構一個對美國有利的東亞安全環境，藉以面對來自崛起中國的挑戰。接著，本文將探究美國與中國之關係，藉以釐清美國在進行東亞軍力調整中，如何處理中國的因素後，探討美國在二十一世紀後，在東亞進行的軍力調整的原因、方針以及概況，以及美國的東亞盟邦在軍力調整後所扮演的角色，並探究美國在東亞軍力整編時所面對的困境與挑戰。 本文發現，二十一世紀美國進行東亞軍力調整之時，也反應了其東亞外交與安全戰略，以及美國建構一個以「美日同盟」為主軸的安全戰略體系已經形成，並由美國的其他東亞盟邦輔助支援。然而，美國的東亞軍力調整，也面臨了許多困難與挑戰，包括美國東亞盟邦，甚至美國自身的問題等。 最後，本文也建議未來可針對抑制中國軍事能力的戰略，以及台灣在美國東亞安全戰略可以扮演的角色進行研究。 / The research approach used in this dissertation is neorealism (structural realism). From the system of level in the international politics, this dissertation explore how the United States conducted its military realignment in East Asia. Firstly, this dissertation will examine the security environment of East Asia in the twenty-first century. Although two U.S. Presidents, George W. Bush and Barrack Obama, adopted different policies when facing such an East Asia security environment, they both strengthened relations with Asia-Pacific countries militarily and diplomatically. They intended to construct an East Asian security environment favorable for U.S. interests so that U.S. can face the challenges from the rising China. Later on, this dissertation will explore U.S.-Chinese relations to clarify how U.S. handle Chinese factors in its military realignment in East Asia. Besides, this dissertation will explore the reasons, policies, how U.S. proceed its military realignment, and the roles played by U.S. allies and partners. Finally, this dissertation will examine the difficulties and challenges that U.S. will have faced in its military realignment. This dissertation finds that U.S. military realignment in East Asia reflects its diplomacy and security strategy. Meanwhile, an U.S. security strategy based on U.S.-Japan alliance has established, with the support from other U.S. allies and partners in East Asia. However, the U.S. indeed faces difficulties and challenges, including problems from its allies and even the U.S. itself. Lastly, this dissertation suggest some research directions in the future, including a strategy which can suppress Chinese capabilities, and the role that Taiwan can play in the comprehensive U.S. East Asia security strategy.