投資組合與效率前緣：以群電、第一金及中化生為例

Abstract

中文摘要 俗話說：不要把所有雞蛋放在同一個籃子裡，此研究目的是要分散投資所產生的風險，為了避免過度將資金投入在單一的投資標的上，我們在多間公司中先進行初步的分析，利用Excel為分析工具，最後選擇出三間：群電、第一金、中化生，進一步來探討，除了最基本的預期報酬率、標準差、變異數，我們還會使用投資組合的概念，以不同的權重分配在不同的公司上，利用效率前緣的觀念找出有效率的方案，接著使用Excel的規劃求解來找出最適投資組合，並透過無風險報酬率與最適投資組合相交的點來找出資本市場線，除此之外，β值、相關係數等理論，加上運用財務管理知識來進行多方面的投資組合分析，以利我們評估風險、報酬以及投資之選擇，並且得出此研究的投資組合能有效地分散風險。

Abstract As the saying goes: Don’t put all eggs in one basket. The purpose of this research is to spread the risks associated with the investment. In order to avoid excessive investment of funds on a single investment target, we used Excel as an analytic tool, and conduct a preliminary analysis in multiple companies, finally selected three companies: Chicony Power, First Financial Holding and CCSB to investigate. In addition to the most basic statics such as return, standard deviation and variance, we will throw in concept of Portfolio to assign different weights to different companies. Therefore, we can use the concept of Efficient Frontier to find suitable program and then use Excel's function to find the efficient portfolio. Furthermore, at the intersection of the risk-free rate of return and the efficient portfolio, we can find the Capital Market Line. In addition to this, the theory of β value, correlation coefficient, and the knowledge of financial management can help us create a variety of portfolio analysis. Thus, we can evaluate all kinds of data and make the optional selection. Consequently, the results we get from this research can effectively spread our risks.