Summary: | 碩士 === 國立臺灣科技大學 === 企業管理系 === 107 === The thesis is aimed to find out optimum portfolio for investors. As for sampling, this study chooses Taiwan constituent ETF (0050, 0051, 0052, 0055, 0054, 0055, 0056, 0057, 0058, 0059, 006203, 006204, 006208) and central government bonds (A01105、A01106、A01109、A02102、A02103、A02106、A02201).
In addition, this paper conduct expected rate, which are made for various stock returns, and estimates the covariance matrix between stocks , use mean-variance portfolio model criterion proof the efficiency front-best portfolio.
On top of that, using observable historical data from stock market to estimate the expected return rate of individual stocks and the covariance matrix between stocks .Therefore, determining the appropriate weight of each stock, and then the investment performance is measured by the mean-variance portfolio.
In this study, there are total 13 stocks and 7 central government bonds ,which were used for 81 groups of investment portfolios, presented with 10 different weighted data, allowing various investors to select different investment targets according to different risk preferences and rates of return.
Finally, the result demonstrate the differences between the 100% ETF and the 70% share 30% bond is an average decrease of 38.77% in risk. However, the average return rate is reduced by 20.15%, which means that giving up 1% return can reduce the risk of 1.92%, and finally by the best portfolio of 0052 and A02201 proved to be lower in risk and better in return.
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