| Summary: | 碩士 === 國立高雄應用科技大學 === 商務經營研究所 === 98 === Traditional mean－variance model (MV) are two controversial assumptions. First, an increase and a decrease in return of financial asset are treated the same; Second, return of financial asset must meet the normal distribution.
Due to the above reason, this paper uses some models to evaluate the downside risk such as semi-variance model (SV), expected loss model (EL), mean－value-at-risk model (MVaR) and calculate the portfolio risks that are consisted of the eight sub-categories of Taiwan’s stock market. And the same time, the optimal portfolio performances with varying holding periods are obtained by three models including SV, EL, MVaR and are compared with MV.
The results show that the optimal holding period are 1 to 3 months and conservative investors can obtain better performances than others. In addition to the financial and insurance index, the performance of the three models of downside risk is usually better than the MV model. It is reasonable for investors to select portfolio according to the model of downside if they invest Taiwan’s stock market.
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