| Summary: | 碩士 === 南台科技大學 === 財務金融系 === 101 === This paper discusses the asset allocation in bull and bear periods from the angle of the efficiency investment portfolio. According to literature review, the global investment bears less risks than regional investment do, while the commodities besides stocks and bonds, such as REITs and gold, play a role to decrease the risk and increase the return in the investment portfolio. Therefore, this paper includes REITs and gold into the traditional stock and bond investment, and forms four possible investment portfolios. The study period is divided full sample, bull period, and bear period. The mean-variance model proposed by Markowitz is used to plot the efficiency frontiers of each investment portfolio in different periods. Under the same risks, the proportions of assets in each investment portfolio in different periods are obtained. The analytic results indicate that the portfolio of REITs and gold in bull position with stock and bond has higher return than the portfolio of stock and bond. In the bear period, due to the characteristics of the assets and the defensive investment portfolio for bond, the return is slightly higher than the stock and bond allocation portfolio.
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