| Summary: | 碩士 === 明新科技大學 === 企業管理研究所在職專班 === 100 === With the coexistence of rapid global economic growth and uncertain external environment in recent years, how to effectively make profits by investment under the impact of high prices and low profits has become one of the most concerned issues of general investors. This paper selects stocks out of numerous investment and financing tools as the subject of the empirical study because stock market is widely known to general investors with easy access to public information, vibration trading, easy realization and market liquidity. This paper uses methods including the data envelope analysis, artificial bee colony and artificial bee colony to build a series of investment portfolio optimization programs to carry out investment activities on the premise of making profits with minimum risk. First, this paper employs the data envelope analysis as the basis for stock selection and the artificial bee colony to obtain the stock investment weights of the investment model before using the artificial bee colony for prediction of the stock and selection of the optimal timing of buy and sell transaction strategies. The final results are compared with the stock market investment return rate or the bank fixed deposit rate to verify the feasibility and effectiveness of the integrated investment strategies. With the stocks in the computer and peripheral industries in Taiwan’s stock market as the empirical subjects, in research data period from 2009 to 2011, this paper establishes the investment portfolio optimization programs of four cases at interval of half a year. According to the verification results, the empirical investment return rate in case of the four models is better than the investment return rate of stocks by sector, indicating that the investment return rate of the investment optimization portfolios proposed is better than the market. However, in case of stock sector investment return rate is negative, although the overall performance is profitable, the deposit of cash in the bank will be better than investment in stocks.
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