碩士 / 大葉大學 / 管理學院碩士在職專班 / 98 / In this study, the energy of overseas funds and gold funds investmentportfolio, respectively, in two ways to explore investment portfolio:first,Sharp on traditional indicators of performance indicators, Treynor index, Jensen index analysis samples of the investment performance of all funds, then the associated factor analysis, select the best performance of the funds and the low correlation coeffi-cient of the sample as a traditional investment portfolio performance, and then in order to find the MVC of the
Markowitz efficient frontier theory is to approach one; In addition, the use of genetic algorithms select the best investment performance of the fund sample, then the optimal asset allocation of the calculus out the portfolio, in order to approach 2.
The results found that:1. according to MVC of Markowitz's theory find the efficient frontier, when the allocation of funds are balance, the income return on investment is low (but still higher than market returns), risk is also low; when a more focused allocation of funds, then the return on investment the higher the risk is higher. 2. genetic algorithms, the average rate of the investment portfolio return higher than the Taiwan's Weighted Price, S&P 500 and the Dow Jones index of European Union and the average
rate of return.
| Identifer | oai:union.ndltd.org:TW/098DYU01121065 |
| Date | January 2010 |
| Creators | Li-Fang Weng, 翁麗芳 |
| Contributors | Wun-Kuei Lai, 賴文魁 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 84 |
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