| Summary: | 碩士 === 德明財經科技大學 === 財務金融系理財與稅務管理碩士班 === 107 === Investment and financial management is a very important knowledge
in life. The effective allocation of assets in the investment
portfolio is to achieve the goal of minimizing risks and
maximizing profits through effective diversification of
investment. It is an issue that investors need to seriously
consider.The mean-variance model proposed by Markowitz provides a
modern approach to asset allocation for modern investors and has
been extensively studied and applied.Based on this, this paper
proposes the research design based on the relevant literatures at
home and abroad, and takes Taiwan stock market as an example to
point out the limitations of the mean-variance model in the
construction process, and introduces a single factor model to
simplify the covariation. Through the cumbersome calculation
process of the matrix, through the theoretical analysis and actual
data calculation, the average return rate of the portfolio, the
standard deviation of the return rate, the Sharp indicator and
the best investment weight are calculated, and the results are
compared and analyzed.Through the comparison of the results, the mean-variance model and the single factor model are further
analyzed, and the reasons for the difference in portfolio
performance under the construction of the two are discussed.
It is found that under the no-short limit, the average return rate
of the portfolio of the sample portfolio under the construction
of the mean-variance model is higher than the average return rate
of the portfolio under the single-factor model. And without the
short-selling restrictions, the portfolio index of the portfolio
of portfolios under the construction of the mean-variance model
is higher than the Sharpe index of the portfolio under the single-
factor model.In order to make the model more realistic with the
real trading environment, the conditions for limiting short
selling, under the short-selling limit, the mean-variance model
and the single-factor model in the Taiwan 50 ETF shareholding
portfolio, the average remuneration of two different sample size
portfolios The rate, the standard deviation of the rate of return,
the Sharpe Index, compared to the no-sale limit, the gap between
the two is significantly reduced.
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【Keywords】：portfolio; Mean-variance; single factor model
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