本論文結合Barsky(1997)之投資者風險屬性衡量,及財務理論中,單期間之最佳靜態投資組合模型,根據資產歷史報酬率資料,找出不同風險屬性投資者之最佳投資組合,並以蒙地卡羅模擬分析,求出上述各組合之下方保本機率及上方超額報酬機率,以期連結下方風險觀念。並希望在實務上,能提供給投資者與理論結合,但更為簡潔易暸之期末資產累積機率,俾供投資者決策參考。結果顯示,Barsky(1997)問卷所得出之風險趨避程度最高之投資者,其最佳靜態投資組合,能達到一年保本機率為92%,但50%的超額報酬機率為0%。相對的,風險趨避程度最低之投資者,其最佳靜態投資組合,能達到一年保本機率為80%,但50%的超額報酬機率為5%。本研究發現,一般來說,一年至五年期間,投資組合保本機率與風險接受程度成反比,但超過十年以上,該結果即不顯著。
Based on the experimental measure of risk tolerance suggested by Barsky et al. (1997) and the optimal solution for myopic portfolio choice model, this study investigates the optimal asset allocations for investors with different degrees of risk tolerance. Furthermore, this study provides a workable scheme for decision making process that links the optimal asset allocations for investors with different degrees of risk tolerance with the concepts of downside risk and upside potential. Using the Monte Carlo simulation, this study documents that for an investor with the lowest risk tolerance, the principal-guaranteed probability of the optimal asset allocation derived in this study is 92 percent in one year while the probability of 50% in return is 0 percent. On the other hand, for an investor with the highest risk tolerance, the principal-guaranteed probability of the optimal asset allocation derived in this study is 80 percent while the probability of 50% in return is 5 percent. In general, there is a negative relationship between the likelihood of 100 percent principal guarantee and the degree of risk tolerance within one to five years. However, this relationship is not significant once the investment horizon is more than 10 years.