資金配置運用線性規劃於投資組合最佳化之軟體開發

The Software Development of optimized Portfolio Fund Allocation with Linear Programming

朱泰霖(Talin Chu)

指導教授 ： 林逾先

國立臺北科技大學/管理學院/經營管理系碩士班/碩士(2012年)

摘要

隨著金融市場的改革與開放，各種金融理財工具提供給投資人進行投資活動以獲取利益；如何妥善管理資金已經成為當今重要的課題，而所有的投資回報率是建立在對未來事件的不同程度上。投資是一場賭博，其成功取決於預測未來的能力。每個人對於風險承受的程度不同，因此需視本身財務狀況及對於風險的看法、產業瞭解程度等情況，而選擇適合本身的投資組合，如何在所能接受的風險下，求出能得到預期最大報酬的資金配置則是非常重要的議題。

線性規劃已被廣泛應用在許多領域，其中也包含財務方面的應用，而一般投資大眾在做投資組合時大多是依據經驗法則，鮮少有根據科學數量化的方法來做決策，因此本研究運用線性規劃建立一個數學模式，根據投資標的之預估投資報酬及風險指數，求算出在特定風險指數總和下的最大預估獲利以及各投資標的之資金配置，並利用程式開發工具，開發一個初始化軟體。

關鍵字

投資組合 ； 線性規劃 ； 資金配置

並列摘要

With the financial markets have been reformed and opened, variety of financial tools are provided to the investors who pursue investment activities for obtain the benefits, how to manage the assets have become an important issue today.All investment returns are dependent, to varying degrees, on future events. Investing is a gamble whose success depends on an ability to predict the future. Therefore, they must evaluate their financial condition and the industrial circumstance to select their proper portfolio. The level of risk that people could bear is different, so the strategy of investment is different. How to get the fund allocation that could obtain the maximum benefits of investment in an acceptable risk is a very important issue.

Linear programming has been used wildly in many fields, including the application of financial aspect. Generally, investors always select their portfolio by experience rather than by quantitative science method. Therefore, According the expected investment return and risk index of the investment objective, this research is the use of linear programming to establish a mathematical model, and calculated the maximum profit and the fund allocation of each investment objective in a given total risk index. As well as using program development tools to develop a prototype software.

並列關鍵字

Portfolio ； Linear Programming ； Fund Allocation

參考文獻

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