| Summary: | 碩士 === 中原大學 === 國際貿易研究所 === 99 === The purpose of investment is to get reward. Generally speaking, investors need to bear higher volatility risks if expected returns of the invested targets are higher, and vice versa. Investors should utilize their money to make good allocation of their assets, and emphasize on the overall returns and risks, rather than just focus on price fluctuations of any specific security. Diversification is also the main consideration in building the optimal investment portfolio. The idea of mutual funds is to use modern investment theory to make optimal portfo lio decision and achieve best performance. To do so, investors can achieve the goal of minimum risk or maximum return.
This research is to make use of theories of the modern investment portfolio models. First, we apply the Mean-Variance Criterion Model by H. Markowitz (1952) to get the Efficient Set or Effi-cient Frontier. The concepts of Capital Asset Pricing Model (CAPM) and Sharpe Ratio by William F. Sharpe (1964, 1966) are then used to get the optimal investment portfolio through single index model.
Apart from the traditional investment portfolio models and single index model, we also add the Risk Return restriction to this research. We refer to the five Risk Return Levels (RR1, RR2, RR3, RR4, RR5) stipulated by the Bankers Association of the Republic of China according to the risk at-tributes of the invested targets and market risk situation of the invested areas to help investors plan the optimal assets allocation suitable to their investing attributes.
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