| Summary: | 碩士 === 世新大學 === 財務金融學研究所(含碩專班) === 107 === This paper studies the 350 Asian equity index futures trading strategies for six years from January 2013 to December 2018 as portfolio underlying asset, in different number of trading strategies using the "Mean-Variance Portfolio Model" proposed by Markowitz (1952), such as Equally Weighted Portfolio, Minimum Risk Portfolio and Tangency Portfolio to allocate trading strategies. By comparing the performance of the nine sets of optimal portfolios derived from three different number of trading strategies, to find out the best way for futures proprietary merchant to allocate trading strategies.
The empirical results show that the increase in the number of trading strategies can not effectively improve the return of the portfolio but can effectively reduce the risk of the portfolio. Therefore, futures proprietary merchant should increase the types of trading commodities and the number of trading strategies in order to improve the diversification and performance of the portfolio. Equally weighted portfolio can get higher returns, but at the same time must bear greater risks. If the futures proprietary merchant is willing to take more risks under the premise of pursuing the rate of return, the equally weighted portfolio is the best portfolio. The tangecy portfolio can get higher returns under the same risk. The tangecy portfolio is the best portfolio if the futures proprietary merchant has a certain risk tolerance.
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