碩士 / 亞洲大學 / 財務金融學系碩士在職專班 / 103 / Based on a literature review and the multiple indicators of fundamentals and chips, this paper employs the genetic algorithm (GA), screens the best analysis indicators and threshold values and determines the most suitable investment portfolio. The data from 2007 to 2009, when the Financial Crisis occurred, are sourced, with the annual returns of individual shares as the target. Using the pointer of the Sortino ratio as the basis, the average return of selected blue chips is calculated. Empirical results show that the return of pre-crisis GA is the largest, followed by that of the index, and whiles the lowest one is the traditional methods. The return of middle-crisis GA is the largest, followed by that of the traditional methods, and the lowest one is the index. The return of post-crisis GA is the largest, followed by that of traditional methods, and the lowest one is the index. As for the best analysis indicators selected with GA, the best indicator for the pre-crisis GA is free cash flow, free cash flow and earnings per share for middle-crisis GA, and free cash flow and securities-cash ratio for post-crisis GA. Regardless of pre-crisis, middle-crisis or post-crisis GA, GA has better returns than the traditional methods and the index. Moreover, traditional methods have better returns than the index in both middle-crisis or post-crisis periods, suggesting that the financial crisis would affect the return of investment portfolio. The free cash flow is the best analysis indicator during pre-crisis, middle-crisis or post-crisis periods, which worth deserves attention from investors.
| Identifer | oai:union.ndltd.org:TW/103THMU1214024 |
| Date | January 2015 |
| Creators | Yu-Ching Li, 李俞青 |
| Contributors | Yung-Shun Tsai, 蔡永順 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 56 |
Page generated in 0.1324 seconds