運用線性規劃於投資組合資金配置最佳化之軟體開發

The Software Development of Optimized Portfolio Fund Allocation with Linear Programming

楊軒宇(Hsuan-Yu Yang)

指導教授 ： 林逾先

國立臺北科技大學/管理學院/商業自動化與管理研究所/碩士(2009年)

摘要

近年來因金融市場的改革與開放，各種金融理財工具提供給投資人進行投資活動以獲取利益；每個人對於風險承受的程度不同，所以造成其投資策略會有所差異，如何在所能接受的風險下，求出能得到預期最大報酬的資金配置則是非常重要的議題。
線性規劃已被廣泛應用在許多領域，其中也包含財務方面的應用，本研究則是運用線性規劃建立一個數學模式，根據投資標的之預估投資報酬及風險指數，求算出在特定風險指數總和下的最大預估獲利以及各投資標的之資金配置，並利用程式開發工具，開發一個初始化軟體。

關鍵字

投資組合 ； 線性規劃 ； 資金配置

並列摘要

Recently financial markets have been reformed and opened, variety of financial tools are provided to the investors who pursue investment activities for obtain the benefits. The level of risk that people could bear is different, so the strategy of investment is different. How to get the fund allocation that could obtain the maximum benefits of investment in an acceptable risk is a very important issue.
Linear programming has been used wildly in many fields, including the application of financial aspect. According the expected investment return and risk index of the investment objective, this research is the use of linear programming to establish a mathematical model, and calculated the maximum profit and the fund allocation of each investment objective in a given total risk index. As well as using program development tools to develop a prototype software.

並列關鍵字

Portfolio ； Linear Programming ； Fund Allocation

參考文獻

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