| Summary: | 碩士 === 國立臺北科技大學 === 工業工程與管理研究所 === 97 === In 2008, the financial tsunami caused five major U.S. investment banks of Wall Street to close down or transit. It reveals that inappropriate investments cause deficits. A half of capitalization of global stock market has lost about 30.1 trillion U.S. dollar in 2008. It reveals that the volatile stock market easily makes heavy losses to investors. Therefore, how to invest rationally in the stock market with dangerous financial market is a major problem. It reveals this case of stock portfolio is even more critical for investors.
Portfolio is a set which is consisted of more than one asset or security, aimed at risk aversion when investors with limited resources. The most important action about Portfolio is that how to formulate asset allocation. That is, investors how to distribute capital to each asset or security in Portfolio. Therefore, how to decide asset allocation of Portfolio rationally is a goal which must be overcome by this study.
Asset allocation of Portfolio is a multiple criteria decision making problem. Decision maker faces much of criteria which conflict for each other, there is no ideal solution could meet all the conditions, but it can be generated a compromise solution according to preferences of decision maker. This study combines the views of "Multiple Objectives Programming" with "Multiple Attribute Decision Making" to form a two-stage model, and then exploit them to generate a rational and objective selection. The results showed that, the obtainable alternative of asset allocation could acquire higher return indeed with acceptable risk.
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