Optimizing Investment Portfolio by Applying Return Factor Model

• Main Authors: Ming-Ju Wu, 吳明儒
• Other Authors: Chie-Bein Chen
• Format: Others
• Language: en_US
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/30849202572868384247

碩士 === 國立東華大學 === 國際企業學系 === 93 === In this study, an investment framework was established for China listed A-share companies’ stock of mechanical device industry and Taiwan listed companies’ stock of opto-electronic industry. This study selects two return factors which are book-to-market ratio and momentum to be the input of DEA-BCC output-oriented model while the average return on stock sets as output. Applying the DEA-BCC model, it is easy to evaluate each stock’s relative efficiency value and then choose good efficiency stocks to construct the investment portfolio. Herein, this study uses traditional equal weight method and Markowitz’s mean-variance theory to determine the weights for investment portfolio. Finally, this study makes the empirical study on the portfolios which are constructed when mechanical device or opto-electronic industry indices in the bull or bear condition. Evidence shows that no matter mechanical device or opto-electronic industry is in bull or bear condition, the proposed portfolio constructed by Markowitz’s mean-variance theory follow up the DEA-BCC output-oriented model is better than their corresponding industry index return. As the results, the proposed method provides the investor to construct the optimal portfolio and the applications in the further research or practice.