以平均數-變異數投資組合模型探討觀光資源最適資產配置之建構

A Study of Optimal Asset Allocation for the Tour Resource from the Explore of Mean-Variance Portfolio

蔡庭曜(Ting-Yao Tsai)

指導教授 ： 鄭駿豪

國立高雄餐旅大學/餐旅學院/餐旅管理研究所/碩士(2010年)

摘要

台灣政府將「觀光」定為21世紀經濟發展的領航產業之一而積極推動「2008觀光倍增計畫」、「開放大陸人民來台觀光」與「2008-2009旅行台灣年」等政策，近期行政院更通過為期四年的「觀光拔尖領航方案」盼2012年達成整體觀光收入5,500億元、提升就業人口與引進數十間國際知名連鎖飯店等，達成整體觀光人口與外匯收入提升而增加台灣觀光市場的競爭力。但執行政策的同時應評估何種國籍市場是台灣觀光產業能倚重的來源，亦或拓展與投資具有潛力之市場帶來更多元化的客源。
本研究將觀光市場與投資市場視為同一角色，使用諾貝爾經濟學獎得主Markowitz（1952, 1959）提出之平均數變異數投資組合模型（Mean-Variance Portfolio Framework, 簡稱MV模型）運用至台灣觀光市場進行分析，藉由MV模型建立投資組合之效率前緣已決定較佳之投資標的組合。研究發現風險最小之市場組合應投資較多資源於馬來西亞市場上，而隨著減少馬來西亞之投資且陸續增加日本與港澳市場投資比例時，效率前緣上之點會逐漸朝向高風險與高報酬之位置。研究結果可依據投資者風險承擔之能力進行不同比例之投資而達到較有效之報酬使整體台灣觀光市場能得到較有效之經濟效益，進而擬定適當且完善之發展策略，提升產業之營收與市場上的競爭力，為台灣餐旅業帶來永續的發展且可觀的收益。

關鍵字

觀光產業 ； 投資組合 ； 平均數-變異數模型

並列摘要

The Taiwan government promotes the tourism policies, including Double Tourist Arrivals Plan, Allowing Mainland Tourists to visit Taiwan and Taiwan Travel in 2008-2009 because of “Tourism” as one of the leading industries of economic development in the 21st century. Recently, the Executive Yuan passed through four-year-term “Project Vanguard for Excellence in Tourism”, and its goals are to achieve 550 billion dollars for overall tourism earning, expand job opportunities in tourism industry, introduce a number of international chain hotels, and increase foreign exchange earnings to strengthen competition of Taiwan’s tourism market. However, when implementing the tourism policies, it is critical to evaluate which the most important national tourists to Taiwan’s tourism market is, and expand the potential market to attract more tourists to Taiwan.
This research regards the tourism market and the investment market as the same role, applying financial Mean-Variance Portfolio Framework theory, proposed by Markowitz (1952, 1959), the Nobel Laureate in economics. The theory was used in analysis of Taiwan tourism market. The MV model in the theory can find the best investment target by efficient frontier. The finding is that if we invest more resource in Malaysia market, the risk will be the lowest. On the other side, if we reduce the investment in Malaysia and increase the investment percentage of Japan or Hong Kong, then we might take the higher risk, but get the higher return. The investors could decide whether or not to take the risk according to the finding, and make the most profitable investment combinations. It will be a great benefit to Taiwan tourism market. Moreover, it’s helpful for the government to develop the complete and applicable strategies to increase the tourism revenue and enhance competitiveness.

並列關鍵字

tourism industry ； portfolio ； mean-variance portfolio framework

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