目標規劃應用在投資組合之研究

• Main Author: 謝俊宏
• Other Authors: 張家澤
• Format: Others
• Language: zh-TW
• Online Access: http://ndltd.ncl.edu.tw/handle/07516738579351220979

碩士 === 淡江大學 === 管理科學研究所 === 68 === 　　There are two objectives of this thesis. Firstly, the thesis is to establish a set of Programs of Linear Goal Programming. We hope that the applications of Goal Programming would be more popular. In addition to establish the Programs of Goal Programming, the thesis provides a series of quantitative method from the estimation of security to the choice of efficient sets and the optimal portfolio in consideration of investor's individual preferences. Furthermore, we illustrate a practical example from the Securities Market of Taiwan in order that the investor can make a scientific and reasonable analysis before investing. These are the second purpose of the thesis. 　　First we estimate all the securities of Taiwan Stock Market by using Multivariate Statistic Method. 　　Then we select the efficient sets of Taiwan Stock Market and compare them one by one, by using Markowitz Model, Sharp Model and Linear-Approach Model. 　　Finally, we establish the Optimal Portfolio Selection Model in consideration of investor's individual preferences and pick out the Optimal Portfolio among these models by using different calculation we have set up. By doing so, we provide suggestions to the investors so as to help them avoid investing blindly.