運用MCDM法探討金融風暴下底部上升段投資組合選擇考量因素與決策

Using MCDM Method to Explore The Considerations And Decision Making Factor Of Selecting Portfolio During Financial Crisis Upside

10.6846/TKU.2016.00508

王秀文

投資組合 ； 多準則決策 ； MCDM ； DEMATEL ； DANP ； VIKOR ； Portfolios ； multiple criteria ； decision making ； MCDM ； DEMATEL ； DANP ； VIKOR

淡江大學企業管理學系碩士班學位論文

2016年

碩士

李文雄

繁體中文

隨著全球經濟自由開放後，投資的標的種類眾多，尤其金融衍生性商品種類與日俱增，然而金融性衍生商品的風險管理格外重要，風險管理不當，容易導致金融危機的產生，尤其在2008年的金融海嘯，台灣在此風暴中也無一倖免，而在此惡劣的環境下，投資人亦可利用金融海嘯後來，來建構一個較適合的投資組合。本研究採用MCDM法找出各項考量因素的相對關係，並計算出各項因子權重，找出關鍵評選準則，並根據各項因子權重排列出方案的優劣順序，並做出最佳的決策。 首先，以投資組合的考量為中心，透過回顧過去文獻，找出哪幾項構面最常被學者所提及，而本研究找出「風險｣、「報酬｣兩項構面，並探討，找出「市場風險」、「流動性風險」、「槓桿風險」、「資本利得」、「股利收益」五項次因子；之後進行專家學者的問卷調查，共回收了16份有效問卷，應用DEMATEL法計算出各準則的關聯性，發現「市場風險」擁有最大影響力，代表如需改善其他準則，可以由此作為主要改善考量；而「槓桿風險」擁有最大關聯性，表示此項為專家學者認為較重要的評選準則。再來運用DANP法求出各項準則權重，得出「槓桿風險｣有較高的權重，而「股利收益｣則相對其他準則來說較不被重視。最後運用VIKOR法進行三種投資組合的績效評估，得出C投資組合同時擁有最高總績效值及最低平均差距(gaps)為相對最佳決策。

After a free and open global economy, investment is the subject of so many species, especially the financial derivatives category increased, financial derivatives risk management is especially important, however, improper risk management, can easily lead to financial crisis. Particularly during the 2008 financial crisis, Taiwan also not spared in this financial crisis, and harsh environment, but investors can also use opportunity during the financial crisis and to construct a better portfolio. MCDM method is used to identify the various factors taken into account in this study, and calculate the weight of each factor, identify key selection criteria, and arranged according to the weight of each factor out the advantages and disadvantages of the order, and make the best decisions. First, with consideration of the investment portfolio as the Center, through Literature Review identify which project are most often referred to by scholars, and find out risk and reward two main facets, and to explore, finding out the "market risk" " Liquidity Risk ""leverage Risk ""capital gains" and "dividend income" five second factors. then Questionnaire of experts, recovered a total of 16 responses, Application of DEMATEL method to calculate the relevance of the guidelines and found that "market risk" has the most influence, representative if you need other criteria can be considered as a major improvement and "leverage risk " with the greatest relevance, said the experts believed the more important selection criteria. DANP method is used to calculate the standard weight, produce the "leverage risk" has a higher weight, and "dividend income" are relatively less attention for other guidelines. Finally using VIKOR method for three kinds of investment portfolio performance evaluation, portfolio with the highest overall performance value of c is obtained and the lowest average gap for the best decisions.

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