| Summary: | 碩士 === 輔仁大學 === 資訊管理學系 === 100 === The purpose of this study is to build an integrated asset allocation of the portfolio selection, capital allocation and the hedge ratio. Portfolio of the Optimal Computing Budget Allocation (OCBA), the innovation of this study is to combine the differential evolution (DE), expect to identify the evolutionary characteristics, and Efficient Frontier, to enhance the investor's investment performance and reduce investment risk. This study use the stock index futures of Taiwan stock market, as experimental subjects, and evaluating of the model through the company's fundamentals indicators and portfolio return. In addition, we use the OCBA to solve the problem of optimal design of the DE parameters, and expect to improve the performance of DE evolution, as well as to construct the model of optimal portfolio allocation of funds and hedge ratio (OHR).
The experimental results show that the OCBA parameter optimization module has good stability, effectiveness and efficiency. Secondly, DE asset allocation module to construct the optimal portfolio of hedge ratios in cattle, bear markets is a good performance. Third, the asset allocation and hedging strategies model with a hedging mechanism, have a lower investment risks and ability to improve profitability. Finally, this study design OCBA-DE asset allocation module, you can find the portfolio in line with the efficient frontier, but Dataset (Train7) market volatility is too large, resulting in a higher portfolio risk of the optimal hedging strategy.
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