2007
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共同基金投資組合之研究 PowerPoint PPT Presentation


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2007 年畢業專題展  台中技術學院資訊管理系. 共同基金投資組合之研究. 國立台中技術學院 資管四一. 指導老師:謝俊宏 教授. 學生:周怡君 林家寧 林意純 陳香怡 詹惠群. 簡介. 研究顯示,和存款比起來,投資比較能讓你的儲蓄快速增加。 共同基金 小額投資報酬率高又穩定,是一種很好的選擇。    積極成長型基金從 1996 年到 1998 年的 3 年間,報酬率高達 90.95% ,平均每年報酬超過 30% ,是銀行存款利率的 4 倍以上。本文即採用國內 20 支積極成長型基金做為基金樣本,進行分析。

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共同基金投資組合之研究

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2007


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19961998390.95%30%420

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Markowitz


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Zj: j

Fi:

m:

Uj: Zj

Aji: i j

Z1 = a11F1 + a12F2 + U1

Z2 = a21F1 + a22F2 + U2

Z1 = a31F1 + a32F2 + U3


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(Markowitz)


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Markowitz(EfficientFrontier)

E(Rp) E(Rp) E(Rp)


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2019

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20919295929208

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abMATLABMarkowitz

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    a

  • ExpCovariance[b]

    b

  • NumPorts=10;

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  • Forntcon[ExpReturn,ExpCovariance,NumPorts]


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  • 493.15476148%


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  • Markowitz()()

    a

    b


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0.03220.0030.05330.38560.56111


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