無賣空限制下的模糊投資組合模式之研究

Fuzzy portfolio model under no short selling

呂怡青(Yi-Ching Lu)

指導教授 ： 曹銳勤

淡江大學/商管學院/管理科學學系碩士班/碩士(2014年)

https://doi.org/10.6846/TKU.2014.01235

摘要

本研究在探討一個模糊投資組合，以上市公司股票投資收益與月報酬率風險參數。利用上市公司的股票，我們以投資組合測試的案例，使用風險中立模式進行投資組合分析，並以不同的結果進行敏感性分析。
該數據被分成五個類股有建築，紡織，電子，化工，金融。其中探討企業績效的方法由盈利能力，成長率，償付能力，股息收益率等作為變數計算權重。。
我們想知道最好的選擇類型的股票，並利用TOPSIS法來考慮風險模型的線性規劃問題藉此得到的投資報酬率的模糊投資組合模型。本研究是以計算公開的公司信息為起承，股票的最佳選擇和最佳效益為賺取為核心，給予投資人客觀的投資組合建議。

關鍵字

模糊投資組合模型 ； TOPSIS法 ； 投資比例 ； 線性規劃 ； 風險中性 ； Markowitz理論 ； 公司獲利能力

並列摘要

This paper considers a fuzzy portfolio selection problem with a constrained set of stock investment returns and satisfaction levels in terms of the total return and risk parameter. Using the stock of the listed companies, we find portfolios we tested the illustrated experiments with a sensitivity analysis that employed different investment risks cause have different results.
The data are divided into five sectors that are construction, textile, electronic, chemical, and financial. The results indicate that firm performance, which is measured by profitability, growth rate, solvency, dividend yield rate.
We want talk about the fuzzy model portfolioby using TOPSIS method and linear program model to choice the best type of stock. This paper consider how to know the best selection of stocks and best benefit for earning after calculating the companies reveal’s information in public.

並列關鍵字

Fuzzy portfolio model ； TOPSIS ； Ratio of investment ； Linear program ； Markowitz portfolio theory ； Profitability

參考文獻

1. C.L. Hwang, K. Yoon, (1981).Multiple attribute decision making: methods and applications, in: Lecture Notes in Economic and Mathematical Systems, Spring, Berlin, Germany.

2. Carhart, M., (1997).On persistence of mutual fund performance. Journal of Finance 52, 57–82.

3. Carlsson, C., Fuller, R., (2001). On possibilistic mean value and variance of fuzzy numbers. Fuzzy Sets and Systems 122, 315–326.

5. F. Balli (2014). The determinants of the volatility of returns on cross-border asset holdings. Journal of International Money and Finance 44 , 1–23

6. Fama, E.F., French, K.R., (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33, 3–56.