| Summary: | 碩士 === 國立東華大學 === 國際企業學系 === 93 === Abstract
Effective investment is currently an important issue for investors. However, most individual investors do not have enough capital to invest and diversify risks so that they are interested in mutual funds for this shortage. Recently, the total assets of mutual funds have also risen, and become an important market gradually. Therefore, this research proposed a new model which is combining a “two-stage data envelopment analysis (DEA)” and “genetic algorithm (GA)” to effectively make investment decisions for mutual fund managers. First of all, this research selects the equity funds of Taiwan mutual market as a sample in the first-stage DEA, and the well-performed funds which their efficient values, , are equal to 1 can be determined by the DEA process. Secondly, the “top 5 stocks” of the well-performed funds are selected as a sample for the second-stage DEA. Then, the best-performance stocks of all can be screened in the second-stage DEA. Finally, GA is employed into this research to solve the optimal holding position to create the maximum profits. It has found that the proposed model can create a 16.39% of monthly rate of return, which is above the performance of the best equity fund in present market. It is hoped that the proposed model can provide the mutual fund managers an effective tool while they need to decide the investment policies.
|
|---|
