| Summary: | 碩士 === 亞洲大學 === 經營管理學系碩士班 === 99 === This study focused on gold and hedge funds to the effect on portfolios. The broader stock market in the global developing and the developed countries are listed from the MSCI, and Taiwan market index, Taiwan government bond index, Dow Jones index in the U.S., New York Spot Gold and hedge funds are selected for this study. The period data is selected from January 1st, 2005 to June 30th, 2010 from Datastream database. In this study, mean - variance portfolio is a research tool, the efficient frontier, capital market line, VaR risk value, capital risk, reward risk, and T distribution test are used for statistical analysis. The results are as following:
1.Gold is good with risk diversification effect as adding it to the basic portfolio (the Dow Jones index, TAIEX, Taiwan government bond index), we found that.
2.The hedge funds do not help with the capital risk for the basic portfolio (the Dow Jones index, TAIEX, Taiwan government bond index) and will increase the risk of return risk.
3.Comparing with B portfolio (gold, the Dow Jones index, TAIEX, Taiwan government bond index) and C portfolio (hedge fund, Dow Jones Index, TAIEX, Taiwan government bond index), B portfolio, with gold, has a good return on the risk diversification effect.
4.In all of the portfolios, the portfolio with gold has a significantly improved on the capital risk and reward risk. Hedge fund portfolio does not have a significant effect on risk diversification.
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