| Summary: | 碩士 === 國立宜蘭大學 === 應用經濟與管理學系經營管理碩士班 === 100 === More than 70% of the stock market investors are individual investors. It is difficult for individual investors to select market information to get the expected portfolio return. This study select 2011/1 to 2011/12’s domestic stocks mutual funds data. First, the study applying domestic investment funds into DEA(data envelopment analysis) in order to select the best performance group (Ek = 1) in Taiwan mutual fund market. Secondly, using grey relational analysis into select the top five weighted from the best performance group then compute the ranking of target stocks from best perform group. Finally, deciding to holding position of the top five-ranked stocks to creat a new portfolio. As the result, most of the return are out performance market. The model hopefully provides the best choice of investment portfolio and optimal holding position of stocks to the investors as an effective investing reference.
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