新冠肺炎疫情之投資組合策略

Abstract

摘要

近年受新冠肺炎疫情影響，我國經濟發展延宕遲緩，然而各個行業受到的衝擊各不相同。其中太陽能產業在疫情期間表現亮眼，因而引起投資人與企業對永續能源之相關議題的關注；另外，由於疫情影響導致宅經濟發酵，對於商品配送的需求量大增，使航運業表現特別突出；再者，因為全球通訊電子供應鏈吃緊，加上相關產品需求提升，故台灣半導體產業的前景仍被樂觀看待。因此，我們以這三種產業的代表性公司為研究對象，嘗試運用財務管理觀念並結合統計模式，來進行投資組合的分析，計算效率前緣曲線，再以夏普值尋找最有效率的投資組合權重，隨後加入無風險資產，產生更有效率的新投資組合。

Abstract

The coronavirus pandemic had spread with alarming speed, infecting national economies hard, but some business groups had been affected in unique ways. The solar energy industry has remained resilient during the pandemic while investors and companies have focused attention on sustainable energy-related issues. Due to the impact of the pandemic, the stay-at-home economy has fermented and the demand for commodity distribution has increased greatly, making the shipping industry particularly outstanding. Moreover, the telecom supply chain has been heavily disrupted, making it harder to keep up with the growing demand in the “new normal” of working from home during the epidemic. The semiconductor industry in the country anticipates the outlook to remain bright in the current financial year. Therefore, this study selects three representative firms from the industries above to construct an investment portfolio. Then we apply Markowitz's portfolio theory to form the efficiency frontier curve and use the Sharpe value to find the weights of efficient portfolio. Lastly, we improve the portfolio by considering the risk-free assets to reduce risk and increase rate of return.