臺灣股票市場投資組合之決策支援系統的構建

Abstract

學術界在投資學方面的研究一直未曾間斷，Markowitz提出平均數-變異數 準則，奠定了現代投資學的理論基礎。而陸續有其它不同模式提出，如平 均數-吉尼係數準則以及隨機優勢準則等等。本研究乃將平均數變異數、 隨機優勢以及平均數吉尼係數等準則，結合目前資訊科技的進步所達成的 電腦高速運算能力，再加上適當的使用者界面，來構建一套國內證券市場 之投資組合決策支援系統。藉以提供投資者客觀而正確的資訊，輔助其選 擇適當的投資組合。系統主要的特點是在功能的完整性、系統執行的效率 性以及使用者介面的方便性上。系統提供了決策支援系統的若則分析與目 標搜尋二大功能，另外亦可查尋各家公司的財務報表。根據系統所得到的 結果，效率集合分析之效率集合所形成的等比例投資組合，其Sharpe指標 值均優於市場組合。而根據不同的效率集合進行Markowitz 投資組合分析 所得到的結果，其Sharpe指標值亦遠高於市場組合。因此系統的確可以在 固定的期望報酬之下有效地分散風險，而得到有效率的投資組合。 Since the concept of investment was proposed, there were many scholars concerated in the development of more rational invest- ment theroy. Until Markowitz proposed Mean-Variance Criteria which has been treated as a milestone of the investment theory settle the foundation of modern portfolio theory. There were some other theories porposed such as Mean-Gini Criteria and Sto- chastic Dominance Criteria which were also widely used by many researchs. We combine the portfolio theories; namely Mean- Variance Crite- ria, Mean-Gini Criteria and Stochastic Dominance Criteria ,asso- ciating powerful information technology to develop the friendly user interface. This DSS system has three features : complete functions, effi- ciency of system performance and easy-to-use interface. Our system support not only the basic what-if and goal-seeking analysis but also other information querying functions. As to the results of this DSS system test, the portfolios of the effi- cient sets formed by all three cirterias all are superior to the market portfolio by Sharpe index.