| Summary: | 碩士 === 國立成功大學 === 工業與資訊管理學系碩博士班 === 93 === In this low-interest rate era, people start to pay attention to diverse financial products. Mutual funds are one of the most popular outlets of investment, since mutual funds have the characteristics of accumulation risk and return. The objective of mutual funds is to disperse investment risk to the smallest degree.
This research attempts to perform empirical study to Taiwan Listed Equity Mutual Fund, and analyzes the performance of equity mutual funds based on their rates of return, volatility, Treynor Index, and Turnover rate. According to those indices, we apply cluster analysis to cluster Equity mutual funds due to their performance, thus providing investors information of investment. Since the future expected return rates and future risk cannot be predicted accurately, thus we adopt the concept of fuzzy numbers to denote expected return rates and risk. The portfolio optimization problem is developed in two manners: to maximize the future expected return subject to given greatest future risk, and to minimize the future risk subject to a given lowest future expected return. The aim is to determine asset allocation to each cluster so that total expected return is greater than or equal to some lowest fuzzy return.
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