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    Title: 利用籌碼面分析與關聯規則建構最適投資組合
    Using chip factors analysis and association rule to construct the optimal asset allocation process
    Authors: 張家瑋
    Chang, Chia Wei
    Contributors: 黃泓智
    張家瑋
    Chang, Chia Wei
    Keywords: 基本面分析
    籌碼面
    三大法人
    關聯規則
    資料探勘
    Date: 2017
    Issue Date: 2017-07-24 12:05:27 (UTC+8)
    Abstract: 本論文將以籌碼面分析為主體進行資產配置流程,首先,透過第一階段基本面的兩個因子,自由現金流收益率(FCFY)與總資產報酬率(ROA)進行初次篩選,在第二階段篩選的部分,將以籌碼面資料與關聯規則,試圖找出影響股價漲跌的籌碼面因子,並將所有可用的資訊轉換成提升報酬率的訊息,進而增加投資組合的績效。在進行籌碼面與關聯規則後,當第一次篩選條件為FCFY(0.3) & ROA(0.3),設定支持度0.4、信賴度0.8,且每隔10個交易日更換投資組合,此時能有最佳的投資組合年化報酬率42.15%。
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    Description: 碩士
    國立政治大學
    風險管理與保險學系
    104358014
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0104358014
    Data Type: thesis
    Appears in Collections:[風險管理與保險學系] 學位論文

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