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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:	[Department of Risk Management and Insurance] Theses

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