| Summary: | 碩士 === 嶺東科技大學 === 財務金融研究所 === 95 === Recently, the government has taken the initial to promote the liberalized policies for financial markets. Under this business climate, there have been more and more divergent financial products mushrooming such as bonds, futures, stock options and other derivative financial products. In future, they will definitely become a part of investment probably. Therefore, how to make good use of derivative financial products for speculative profit, together with the way how to make ideal investment portfolios on the other hand, will be an issue worthy of insightful exploration.
This research is designed with the intelligent selection systems by means of analysis and learning from history records. R* can be established to predict the call-put investment decision for next run.Secondly, through the Networks-Sensitivity Analysis, it is available to screen the financial ratios with critical importance to business management physique for firms on the public stock markets. With the focus on financial ratios screened by the decision tree analysis, the screening rules can be reachable by training the decision tree. Furthermore, by using the Grey Relational Analysis, the screened stocks will be sequenced in accordance with the gray relation to prioritize stocks. Finally, the technique indicator–the difference of call-and-put option created by positive expectation values can be utilized to predict the falling-rising fluctuation of stock market index in future to act signals for call or put option. The investment strategies are mainly based on the transaction strategies of price variance for put option. The stocks and TAIEX option can be made for the investment portfolio.
This research results is utilized with aforesaid investing strategy models for simulating investment transaction by focusing the firms （excluding industries relevant finance service） and TAIEX option contracts on the public stock markets. The experimental period was from May 2004 to May 2007. Research results indicate that by creating 2 parts of investment in stocks and TAIEX option, the annual rate of return is averaged at 83.01% with the profiting capabilities remarkably superior to the annual average rate of return by aiming at TAIEX index only
|
|---|
