利用動態性策略於股市投資決策制定

Making use of dynamic strategies in investment decision of stock.

張庭毓(Ting-Yu Chang)

指導教授 ： 張應華

淡江大學/商管學院/資訊管理學系碩士班/碩士(2019年)

https://doi.org/10.6846/TKU.2019.00721

摘要

在眾多的理財工具中，股票投資是最為大家所熟悉且接受的。但投資人常常聽信從報章雜誌及財經節目上分析師所提供未經確認的消息來買賣股票。其中因為資訊少又無法判斷訊息的真偽，常常導致投資虧損。對於一般的投資者而言，某產業是否已經走下坡，或者某企業的競爭力是否已經逐漸下降，若只能透過新聞媒體得知消息，通常都會錯失買賣股票的最佳時機。
現行投資環境詭變多端，不同的情況下適合不同的投資判斷工具，如何能在複雜的環境裡掌握局勢，隨時動態產生新的投資策略，即可獲得優渥的風險溢酬，亦即若可以適時的採用不同投資環境偵測工具，正確的判斷出選股、擇時和資金分配策略，則投資人將可獲得不錯的超額報酬。
本研究將利用演化策略透過歷史資料的訓練和測試以獲得選股、擇時以及資金配置各個關鍵策略變數的範圍，再將此演化後的最佳變數範圍做為偵測下一階段投資環境的指標，即可判斷出在面對當前不停變化的股市環境下，可以正確挑選出適合的選股、擇時及資金配置策略，並套用在股市投資當中，幫助投資人做出正確的決策。

關鍵字

選股 ； 擇時 ； 資金配置 ； 巴菲特 ； 彼得林區 ； Ohlson評價模型 ； 多因子資本資產定價模型 ； 套利定價理論 ； 最佳化F值 ； Kelly公式 ； 類神經網路 ； 演化策略 ； 動態決策制定

並列摘要

Among all wealth management tools, stock investment is not only widely accepted but also the most familiar tool to people. Unfortunately, however, investors often believe in unreliable and unconfirmed information from newspapers, magazines, and financial analysts to buy and sell stocks. Since the lack of information and the inability to judge the authenticity of the information, investors often end up with investment losses. For general investors, they usually miss the best timing to buy and sell stocks if news such as whether an industry has gone downhill or whether the competitiveness of a certain company has gradually declined can only be heard from news media.
Since current investment environment is changing, different conditions are correspond with different investment judgment tools. If one is able to dominate the complex environment and generate new investment strategies at any time, one can gain risk premium. In other words, investors will receive good excess returns by accurately using different investment environment detection tools to determine selection, timing, and capital allocation strategies.
This study will use evolutionary strategies to train and test historical data and further obtain a range of strategic variables for selection, timing, and capital allocation. In addition, we will be able to use this evolved optimal variable range as a detection of the next phase of the investment environment. The indicators can be used to determine the right selection, timing, and capital allocation strategies in the current stock market environment and be applied to the stock market investment to help investors to make the right decisions.

並列關鍵字

Selection ； Timing ； Capital Allocation ； Buffett ； Peter Lynch ； Ohlson model ； Multifactor CAPM ； APT ； Optimal F ； Kelly formula ； Artificial Neural Network ； Evolutionary Strategies ； Dynamic decision making

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