The Construction of Equity Funds by using Particle Swarm Optimization

• Main Authors: Shu-Wei Hsu, 許書瑋
• Other Authors: Jui-Fang Chang
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/59797238072943080390

碩士 === 國立高雄應用科技大學 === 商務經營研究所 === 95 === In order to let the investment more efficient and investors of professional managers make more returns, this research uses the characteristic of the Particle Swarm Optimization to find the optimal solution to allocate the investment capitals of the Equity Fund. The internal equity funds’ monthly data from Jan. 2004 to Dec. 2006 was adopted in our experiment. The data set was further divided into three sub-periods for getting different stocks. The experiment is divided into two stages, the first stage is to evaluate the performance of the funds. A number of factors were taken into accounting in Fund Performance Evaluation, including Ratio of Return, Standard Deviation, Beta Coefficient, Shape Index, Jensen Index, Treynor Index, Information Ratio and Turnover Rate. Choose the equity funds and comput stocks’ Reward-to-variability Ratio of the Top Five stocks of the choosing funds to select the Top twenty stocks to construct the equity funds. In second stage, we apply the PSO algorithm to these stocks for finding the optimal investment allocation of this equity funds by using the moving interval windows. Compare the ratio of returns of the equity funds with that of TWSI and of the best equity funds. The result shows that the Ratio of Return of our research is whole better than that of TWSI and even better than that of the best equity funds. And Investor must elastic operation in order to obtain the high ratio of returns.