The Performance Evaluation and Risk for International Portfolio of Global Financial Funds, Global Technology Shares Funds, Emerging Markets Equity Funds, and Emerging Market Bond Funds

• Main Authors: Meng-Fen, Lee, 李孟芬
• Other Authors: Lai, Wen-Quai
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/06574643645524719759

碩士 === 大葉大學 === 管理學院碩士在職專班 === 99 === In this study, the global financial funds, global technology shares funds, emerging market equity funds and emerging market bond funds in May 2008 to May 2010 the daily data, investment portfolio analysis and comparison, respectively, the MV investment Markowitz combined model and genetic algorithms, optimal algorithm portfolio asset allocation. The results showed: 1. According to Markowitz portfolio model of the MV efficient frontier of that: the dispersion of the portfolio will affect the investment risk and return, respectively, for different risk tolerance of investors. 2. To genetic algorithms that: the whole sample period by the long-term point of view, B group the average return rate of portfolio A group of investment portfolio than the average return rate, the Taiwan stock market returns and U.S. bond market returns; it B group of the investment portfolio for the best, followed by the U.S. bond market, once again the investment portfolio for the A group, the worst stock market in Taiwan. Therefore, investors should spread the risk, not all of the funds will be invested in Taiwan stock market, the portfolio should be spread risks. 3. Genetic algorithms than the MV Markowitz portfolio model suitable for the method to determine the optimal portfolio. Key Words: portfolio, performance performance, genetic algorithm