The Research Of Utilizing Taguchi''''s Loss Function To Improve The Selection Of Portfolios

• Main Authors: Hsiang-Yi Liang, 梁湘宜
• Other Authors: Chung-Jen Fu
• Format: Others
• Language: zh-TW
• Published: 2002
• Online Access: http://ndltd.ncl.edu.tw/handle/19546120635342081574

碩士 === 國立雲林科技大學 === 企業管理系碩士班 === 90 === In the recent year, although there are lots of scholars intending to utilize all kinds of portfolio models to become the basis of the efficient portfolios construction for the investors to consult, there are still lacks of some studies to discuss how to select the most appropriate portfolios. This research mainly discuss according to Markowitz’s M-V model, utilizing Sharpe index and Taguchi’s “the-larger-the-better” loss function to resolve the best model of the asset allocation. We wish to solve the dilemma problem between the expect remunerations and the risks, and to earn for the best portfolio. This research found out that by using the Taguchi’s “the-larger-the-better” loss function indeed can evaluate and establish the best model of the asset allocation and gain the best portfolio among all the investing tools.