- 學位論文
運用兩階段決策技術於股票投資組合選擇
Using Two-stage Decision Making Techniques in Stocks Portfolio Selection
摘要
2008年金融海嘯造成美國華爾街五大投資銀行相繼停業或轉型，顯示業者投資決策存有瑕疵，導致虧損；2008年全球股市市值損失一半，約30.1兆美元，顯示股票市場詭譎多變，導致投資人損失慘重。投資人如何於險惡的股票市場進行理性投資決策實為一大難題，故本研究投資組合案例對於投資者而言更顯關鍵。 投資組合係一種以上的證券或資產所構成的集合，其目的在於投資人擁有有限資源的情況下，藉由購買證券或資產所構成的集合，達到規避風險的結果。投資組合最重要係如何擬定「資產配置」，即一組投資組合中，每一證券或資產該分配多少資金以進行投資。故該如何理性地決定投資組合的資產配置係本研究欲克服的目標。 唯投資組合之資產配置係多準則決策問題，決策者面臨許多準則彼此交互衝突，實無法存在一組理想解滿足所有條件，但卻可以根據決策者偏好以產生妥協解。本研究結合「多目標規劃」與「多屬性決策」的觀點提出兩階段模式，以此制定理性與客觀的選擇方案。研究結果顯示，本文所篩選的資產配置方案確實可以在可承受風險的情況下，獲取較高之報酬。
並列摘要
In 2008, the financial tsunami caused five major U.S. investment banks of Wall Street to close down or transit. It reveals that inappropriate investments cause deficits. A half of capitalization of global stock market has lost about 30.1 trillion U.S. dollar in 2008. It reveals that the volatile stock market easily makes heavy losses to investors. Therefore, how to invest rationally in the stock market with dangerous financial market is a major problem. It reveals this case of stock portfolio is even more critical for investors. Portfolio is a set which is consisted of more than one asset or security, aimed at risk aversion when investors with limited resources. The most important action about Portfolio is that how to formulate asset allocation. That is, investors how to distribute capital to each asset or security in Portfolio. Therefore, how to decide asset allocation of Portfolio rationally is a goal which must be overcome by this study. Asset allocation of Portfolio is a multiple criteria decision making problem. Decision maker faces much of criteria which conflict for each other, there is no ideal solution could meet all the conditions, but it can be generated a compromise solution according to preferences of decision maker. This study combines the views of "Multiple Objectives Programming" with "Multiple Attribute Decision Making" to form a two-stage model, and then exploit them to generate a rational and objective selection. The results showed that, the obtainable alternative of asset allocation could acquire higher return indeed with acceptable risk.