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  • 學位論文

利用演化技術建置有限制的殖利率為基礎之投資組合選擇模型

Constructing the YTM-based Portfolio Selection Model with Constraints by Evolutionary Algorithm

指導教授 : 陳俊豪

摘要


在金融市場中,有多種投資標的與衍生性金融商品,例如:股票、期貨、選擇權等。換句話說,越來越多的投資標的容易讓投資者舉棋不定,使得找出一個合適的投資組合對投資者來說是一件困難的事情。因此,投資組合選擇問題便成為一有趣的議題。根據 Markowitz 所提出的平均變異 (M-V) 模型,有許多演化為基礎的方法被提出用來最佳化投資標的權重。然而,平均變異模型有它的限制。故本論文依據使用者的限制,提出兩個方法來找尋最佳化投資選擇模型,分別為殖利率為基礎的遺傳投資組合選擇模型 (YTMGPSM) 與殖利率為基礎的多目標投資組合選擇模型 (YTMMOPSM)。 在第一個方法中,標的的買與不買及購買張數透過實數將之編入染色體用以建構可能的投資組合。而其染色體的適應值,則透過投資組合的報酬率、風險及其合適性進行評估。其中,投資組合的合適性是由投資組合懲罰值 (PP) 與投資資金懲罰值 (ICP) 所組成,分別用來反應對使用者設定的最大投資資金與最大購買公司數的符合程度。第二個方法中,則透過多目標遺傳演算法,使用兩個目標函數,分別為染色體的合適性與報酬率,探勘柏拉圖集合並提供給投資者不同選擇但都能滿足其限制的投資組合。 實驗利用台灣證券交易所所提供的真實資料來顯示此兩個方法皆是有效用的。YTMGPSM 優點在於能夠以值利率為基礎依照使用者設定的最大投資資金與最大購買公司數來找尋出一個最佳的投資組合,而 YTMMOPSM 的優點,則是透過兩個目標函數且符合投資者的條件下,使用多目標遺傳演算法挖掘柏拉圖集合提供投資者不同的投資組合選擇。

並列摘要


In financial market, there are many financial instruments and financial derivatives, including stocks, futures, options, etc. In other words, investors have too many choices such that finding an appropriate portfolio is a difficult task. Portfolio selection problem thus becomes an interesting topic in the investment market. Lots approaches focus on optimizing weights of assets by evolutionary algorithms based on Mean-Variance (M-V) model which is proposed by Markowitz. However, M-V model has its limitations. According to user’s constraints, this study thus proposes two methods for optimizing portfolio selection model, namely a yield-to-maturity (YTM)-based genetic portfolio selection model (YTMGPSM) and a YTM-based multi-objective portfolio selection model (YTMMOPSM) with users constraints. In the first algorithm (YTMGPSM), a set of real numbers are encoded into a chromosome to form a possible portfolio which presents whether buy or not buy and purchased units of assets. The fitness value of a chromosome is evaluated by Return on Investment (ROI), Value at Risk (VaR) and suitability of the respective portfolio. The suitability of a chromosome consists of portfolio penalty (PP) and investment capital penalty (ICP) that are used to reflect the satisfactions of user predefined maximum investment and maximum number of companies, respectively. In the second algorithm (YTMMOPSM), the multi-objective genetic algorithm is utilized with two objective functions, called Suitability and ROI of chromosome, for finding a Pareto set for not only providing investors different choices of portfolios but also filling investors’ preferences. Experiments on real datasets from Taiwan Stock Exchange (TSE) show two methods are effective. The advantage of YTMGPSM is that it provides investors to find the portfolio according to their preferences, e.g. maximum investment, maximum number of companies constraints. The advantage of YTMMOPSM is that through two objective functions (Suitability and ROI) and investors’ preferences, it could provide Pareto set for investors to select an appropriate investment portfolio.

參考文獻


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