| Summary: | 碩士 === 國立高雄第一科技大學 === 風險管理與保險所 === 94 === ABSTRACT
This paper employs Genetic Algorithm（GA） to propose a model based on The
Administration Act of Security Investment and Trust Fund to construct Efficiency
Frontier of fund of funds（FoF） in Taiwan. The model in this paper can be used to
examine the effects of Efficiency Frontier of FoF, to establish FoF and to verify its
predictability. Therefore, this paper shows that Taiwan’s FoF based on The
Administration Act of Security Investment and Trust Fund has been un-efficient.
Built on the concept of asset allocations with the characteristics of maximal profits and
minimal risks and on the consideration of three fund performance indexes and fund’s
asset net value, this model constructs FoF by applying GA. Compared to the
performance of TSEC weighted price index, the average performance of domestic FoF
and domestic stock fund within the same period, the performance of the FoF
constructed in this paper is more efficient during the testing phase. Moreover, on the
basis of the order of Sharp Index, FoF asset allocation model combines the concept of
minimal risks and maximal profits to establish FoF. This FoF asset allocation model
puts emphasis on using the order of Sharp Index; consequently, it offers a better method
iii
to predict robustness.
|
|---|
