| Summary: | 碩士 === 國立中興大學 === 高階經理人碩士在職專班 === 104 === In this study, we use the sample of global exchange-traded funds (Exchange Traded Fund, ETF) that ranges from 2012 to 2015 to discuss two issues. First, following Black-Litterman model, we discuss the aggressive, steady and conservative types of asset allocation analysis. Second, in order to involve the uncertainty of the future state of the market, we use the Markov switching model to capture the state of Bull and Bear market turning points and identify the most appropriate investment opportunity by using investment strategy analysis of ETF portfolios. The empirical results show that when investor risk appetite (λ) is different, investments of the ETF weights vary. Three different investor risk appetites for the expected risk and expected return are positive correlation; investors investing in equity funds ETF in bull markets outperform that in bear markets; investment strategies no. 3 has the best performance
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