投資組合的最適持有期間研究

證券市場上，一般散戶投資人關心的莫過於如何以簡單的策略，較少的成本獲得較佳的投資收益。本研究以2000年一月至2008年十二月期間，台灣證券交易所（TSEC）掛牌上市之個股作為選取標的，以Markowitz（1952）多角化（Diversification）資產配置的概念建構最小變異（Minimum Variance）的最佳投資組合（Optimal portfolios）；配合簡單的買入持有策略（Buy-and-Hold Strategy），觀察加入實際交易成本（Transaction Cost）後，散戶投資人是否能夠藉由最佳化投資組合的選股模式獲得優於大盤的報酬，以及投資組合最適的持有期間長度（Optimal Holding Period）；並且比較投資人投入資金規模（Investment Amount）是否影響投資組合獲利情形。本研究實證結果發現：以有限制式的最小變異投資組合的台股投資組合，在觀察期中其報酬率確實有優於大盤之一致表現。選取的投資組合中，低價（低於20元）的股票佔大多數，且產業類別亦十分分散。對散戶投資人而言，簡單的買進持有配合最小變異的最佳化投資組合，可能提供了一個優於大盤表現的有效投資策略。

關鍵字

最小變異；最適持有期間；投資金額

並列摘要

Based on the Modern Portfolio Theory, we use Markowitz’s concepts of mini -mum variance to construct optimal portfolios. By using the simplest Buy-and-Hold strategy, we mimic individual investors’ behavior to reduce the transaction costs and to provide a cheap way to diversify for pursuing better performance. Our study compares realized portfolio returns with TSEC market index return. Our samples were selected from TSEC listed companies, over the period January 2000 through December 2008. The analysis focus on the realized returns of portfolios which constructed of different sub-periods of sample period and different investment amount to investigate about optimal holding period and portfolio perfomance. The final results clarify that the returns of stock portfolio were consistently superior than TSEC Taiwan Weighted Index through the whole test periods. Most stocks of the portfolios were composed of low price stocks( under NTD.20 dollars) , and were diversified varyly in industries. Our study results demonstrate that, to individual investors, using Markowitz’s minimum variance constrainted optimal portfolio with simply Buy-and-Hold strategy may be a possible way to get better performance and to beat the market.