金融海嘯過後，銀行財富管理業務中發生了許許多多和客戶間的爭議，而社會輿論也響起了很多檢討的聲音，檢討深究起來才發現其實銀行在第一線的銷售並沒有替客戶設想到風險的問題，當然替客戶所規劃的資產配置就不是那麼有效，而長期以來，投資國內型共同基金常常大漲大跌是一直為人所詬病的缺點，而筆者本身在銀行第一線從事理財投資商品的銷售時也一直在思考，到底要如何解決這樣的問題？而希望將馬可維茲提出的變異數極小化投資組合理論運用在台灣基金市場來做資產的配置，探究究竟是否能有效的降低國內投資型共同基金投資組合的下方風險。而本文標的資產將選取共四類變數，分別為國內投資股票型基金、國內投資平衡型基金、國內投資固定收益型基金及國內投資不動產信託，而經濟變數分別為景氣領先指標、經濟成長率…等共十項，而會先對標的資產及經濟變數做敘述統計分析，包含了平均數、變異數、相關分析等，接著，利用一次差分後的經濟變數，對標的資產報酬作複迴歸分析，再利用原始的投資組合理論，以及複迴歸基礎的投資組合理論去討論變異數極小的投資組合理論在台灣共同基金市場的表現，而最後在不同的政策環境下測試模型的有效性、情境分析。而結論顯示投資組合理論確實能有效降低投資組合風險，而加入了不動產信託後效果更有提升，而投資組合理論的效益在市場狀況不佳時尤其顯著。 I try to find out that the mean-variance optimization after all can lessen the downside risk of domestic mutual fund. The underlying assets are domestic mutual funds investing in equity, domestic balanced funds, domestic mutual fund investing in fix income products and Reits. The economic variables are leading indicator of business cycle, GDP growth rate and so on. I will use the returns of underlying assets regress on economic variables first order differentiated. Then, I will employ regression based mean-variance optimization to discuss about the effectiveness of portfolio theory in Taiwanese fund market. Finally, I will test the effectiveness of my portfolios under different policies. The conclusions reveal that the modern portfolio theory indeed has its effectiveness to lessen the risk. And the effectiveness partly improves after including the Reits into portfolio allocation. The benefits of modern portfolio theory illustrates the better performance during market downturn.
