Establishing Asset Allocation Strategies by Using Technical Index

• Main Authors: Lin,Chia-Hong, 林佳鴻
• Other Authors: Han,Chien-Shan
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/22822123551298963090

碩士 === 輔仁大學 === 金融研究所 === 98 === The stock market has well development in Taiwan，thousands of company listed for trading. It is take much time to select good company for investment. The homework should be done for each investor to make suitable asset allocation. The two most important things is capital control and risk management, and the ability to fund allocation to made properly portfolio. Through this article developed M indicator from the long and short term moving indicators, which we can know the Stock market in bullish or bearish market. It can indicate to do weights addition and subtraction in the portfolio and CPPI formula indicate capital control, it will greatly increase investment return and reduce risk. The eight stocks selected in this study of an investment portfolio from Taiwan 50(ETF) constituent stocks. Which are the leading stocks in each industry and profitability and dividend yields are stable. Through the best parameter M indicator for reference that we can (dynamic, static) adjusting the weights of the portfolio, the return of investment by the CPPI formula in the test period (one year, two year) that the empirical results can defeat Taiwan 50 index returns, it can verify the validity of M indicator in stocks investment.