| Summary: | 碩士 === 大葉大學 === 國際企業管理學系碩士在職專班 === 99 === This research was made based on the global bond portfolio fund and global real
estate fund as samples. The research period was from November 2007 to November
2010, total three years of monthly data. Sharpe’s, Treynor’s and Jensen’s performance
indicators were used for analysis. Then, Markowitz’s efficient frontier was adopted.
After that, a portfolio analysis was made by means of investment genetic algorithm.
The research result showed -
1. From the efficient frontier graph of Markowitz’s portfolio, it was found that the best
portfolio was centralized in the global bond portfolio fund. Therefore, this research
indicates that if an investment is made in the near future under the environment of
global economic depression, the global bond portfolio fund will create a higher
reward, and bear a lower risk.
2. From the research of three years of genetic algorithm, it was found that the best
investment was fund portfolio. The next one was Taiwan stock market. The worse
one is the US bond market. For a long term investment, the fund investment is better
than the investment in Taiwan stock market and the US bond market.
3. From the research, it was found that adopting genetic algorithm was fast and
efficient to get the best portfolio and reward. The investor may set his operational
parameters depending on his preference so as to get the best investment policy.
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