台灣股票投資組合最佳化分析與網際網路系統設計

Abstract

本研究目的在於建構一套依據現代投資組合理論所發展出來的投資組合決策支援系統。而現代投資組合理論基於嚴謹的財務數量模型，且在實務界上有廣泛應用成功的範例，因此本研究希望能透過國內總體經濟因素之分析，以及個體公司財務報表的資訊、股市價量資料加上各公司所屬的產業變數，建構出一個適合台灣股市的因子模型，並實作成為在網際網路上可操作的系統，以達到能即時監控與更新投資組合的目的。

The objective of this thesis is to develop a portfolio decision support system (DSS), which is established by the modern portfolio theory (MPT). The MPT is a precise quantitative model based on complicated financial theory and is widely applied in practical fields successfully. In this research, the domestic macro economical factors, individual company financial reports, transaction data in the stock market and the industry attribution of each company are analysed to form a Taiwan multi-factor model(MFM). Thus, a portfolio optimization decision support system can then be established in the environment of the internet. By such infrastructure, the portfolios formed by the system can be monitored and controlled in real time requirement.