過去於投資策略方面已有相當多的研究。然而不論是何種投資策略都有其風險性，於波動性高的市場中更是如此。以多期投資的角度來看，為避免因投資初期重大損失甚至破產，導致後期無資金可以投資，因此在每次投資時，皆應該決定一投入的資金比例，而非將資金全數投入，此為資金管理。在過去資金管理策略的研究中，主要是以「靜態」為主，換句話說，每期所投入的資金比例是固定不變的。 本研究因此提出動態多期資金管理策略的概念，能夠動態決定當期投資資金比例。並且使用投資策略績效指標最為建構動態多期資金管理策略的依據，使用遺傳演算法最最佳化，找出特定投資策略最適的動態多期資金管理策略，並且應用於臺灣指數期貨市場的投資。經過實驗證實，採用動態多期資金管理策略確實能夠降低投資風險，甚至提高報酬。 There were many researches about investment strategy in the past. Any kind of investment strategy is risky, especially in a highly volatile market. To avoid bankrupting, we should use a fraction of our caption when investing instead of using all of our capital. This is money management. In the past research of money management, they used “static” fraction of capital, so investor use the same fraction in every investment. In this paper, we have proposed a dynamic money management model. That means we can get different fractions in each investment by this model. We also use genetic algorithm to find the optimal dynamic money management strategy of a specific investment strategy. We use our model to conduct experiments on real dataset obtained from Taiwan Future Exchange. The experimental results show that we can reduce risk by dynamic money management strategy, even increase our return.
