| Summary: | 碩士 === 中原大學 === 工業工程研究所 === 92 === Portfolio selection and risk <a href="http://www.ntsearch.com/search.php?q=management&v=56">management</a> had been a most important research fields in modern <a href="http://www.ntsearch.com/search.php?q=finance&v=56">finance</a> recently. Now, the emergence of new financial derivatives such as options and <a href="http://www.ntsearch.com/search.php?q=futures&v=56">futures</a>, provides more <a href="http://www.ntsearch.com/search.php?q=investment&v=56">investment</a> opportunities for the investor. Also due to these new instruments, investor has more abilities and opportunities to control risk and obtain the sure profits.
In thesis, we consider a safety-first portfolio selection problem in which a future is considered simultaneously. We take a long position on <a href="http://www.ntsearch.com/search.php?q=stock&v=56">stock</a> portfolio and take the short position on the index future. We set up such problem as a mathematical program model to obtain such portfolio with maximal return under the safety-first criterion considering the allowable downside risk. Moreover, we also measured the performances of the portfolios based on the historical data.
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