運用多選擇目標規劃的最適投資組合決策之探討

Abstract

本研究旨在探討投資人的最適投資組合決策，採用Muti-choice goal programming (MCGP)方法，考慮基本面、技術面及籌碼面等投資準則，及投資人對該準則的期望準位，以發展成最適投資組合決策之模式，其重要結論如下： 一、運用MCGP的方法所設定的投資模型，可以改善Goal Progrmming (GP)模型在投資決策上對於多準則及多目標無法求解的狀況。 二、運用MCGP的投資模型，對於內在主觀的感受，可以透過期望準位(aspiration level)的設定，將存在內心的屬性客觀的表現出來。 三、投資人對於內在主觀的感受，可以長期的試驗及追蹤，了解自己的投資屬性，並且可以在不同的經濟環境下模擬選股結果，亦可以避免非理性的情緒影響投資決策。 四、運用MCGP投資模型兼具模仿與自我學習效果，投資人隨著本身的經濟狀況、知識及經驗的成長，可以利用MCGP的投資模式來調整適合自己的投資準則及期望準位，提升投資組合的報酬率。 五、對基金經理人或證券分析師而言，可針對顧客屬性提供適合的投資建議，減少投資糾紛。MCGP模型可以同時評估不同投資準則，足以達到選股及擇時皆考慮的效果，增加獲利的機會。 六、MCGP模型可以針對不同類型投資人的需求，滿足對於指標選擇的彈性。並可運用工具軟體建置於網路上，證券業者可以使用MCGP模型增加與潛在客戶的互動，進而增進業務績效。

This study aimed at the investment portfolio decision-making optimum by using Multi-choice Goal Programming (MCGP). The MCGP optimal portfolio decision-making model is concerning fundamental analysis, technical analysis, institutional analysis, and investors’ aspiration level. Its important conclusions are as follows: 1. The MCGP investment model applied for portforlio seletion can improve the weakness that GP model can not solved multi-crieterion and multi-objectives problems in the portforlio seletion decisions. 2. Through MCGP investment model, the inner subjective feelings of investors can be objectively expressed by setting different aspiration level. 3. Investor’s inner subjective feelings can be long-term track and be tested to understand their investment properties. In addition, in different economic environment it can simulate to choose stock results. 4. In the future, using investors’ own understanding on economic situation, knowledge and experience; they can use MCGP model to adjust their criteria or aspiration level. 5. Investors can use the set MCGP investment model to avoid the emotional impact of irrational investment decisions. 6. MCGP investment model can be used for different types of investors’ demands to meet the optimum portfolio selection chosen for the flexibility. 7. The analyst can use to provide investment recommendations to reduce investment disputes for customers.