Portfolio analysis of Daily Sector Indexes

• Main Authors: Ching-Hsiu Wang, 王清秀
• Other Authors: Shu-Hwa Chang
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/05111634412822454473

碩士 === 世新大學 === 財務金融學研究所(含碩專班) === 101 === Abstract Each individual has his own needs of investment and various investing experience. The thesis utilizes “Mean-Variance Model” that brought up by Markowitz and divides into 3 investment combinations, they are Equally Weighted Portfolio, Minimum Risk Portfolio and Tangency Portfolio, of which study the characteristics of each industry on asset allocations and stock index analysis and optimizing various methods. Doing so, it can reduce entire risk in the investment combinations and, in turn, come up with an optimal investment strategy. This research is based on the stock prices, from Taiwan Stock Exchange Market, of each industry. Analyzing various investment combinations versus daily stock index at end of trading. Its main purpose is to provide information to investors starting from stock index of industry and then to select particular investment targets in the industry. This is similar as from top to down stock selection strategy, which begins with selecting few out of many and then selecting specific ones have good foundation and solid financial statement out of few. Therefore, it is hoped to assist various investors a guideline for allocating their assets. As a result, it appears that “Food and Others and Rubber sectors” can be the most selective combinations regardless either minimize investing risk or optional investment combinations. 【keyword】Mean-Variance Portfolio Model、Ａsset Allocations、Portfolio theory