研究生: |
陳可恩 Ke-En Chen |
---|---|
論文名稱: |
啟發式演算法優化基本面財務比率投資組合模型:以臺灣上市櫃建設類股與全部類股實證 Metaheuristic-Optimized Financial Ratio Investment Model: Evidence from Taiwan Stock Market and Construction Stocks Trading |
指導教授: |
周瑞生
Jui-Sheng Chou |
口試委員: |
曾惠斌
Hui-Ping Tserng 葉怡成 I-Cheng Yeh 鍾建屏 Chien-Ping Chung 周瑞生 Jui-Sheng Chou |
學位類別: |
碩士 Master |
系所名稱: |
工程學院 - 營建工程系 Department of Civil and Construction Engineering |
論文出版年: | 2021 |
畢業學年度: | 109 |
語文別: | 中文 |
論文頁數: | 289 |
中文關鍵詞: | 基本面分析 、啟發式優化演算法 、機器學習技術 、多因子選股 、投資組合優化 |
外文關鍵詞: | Fundamental analysis, Metaheuristic algorithm, Machine learning technics, Multi-factor portfolio, Portfolio optimization |
相關次數: | 點閱:264 下載:0 |
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建設類公司普遍存在高風險經營之特性,且其經營績效易受政策影響,加上財報採用「全部完工認列」方式認列獲利,銷售營收不易預估,連帶造成建設類股於市場中不受投資人青睞,許多建設業的優質公司價值被低估,對產業資本結構與發展造成衝擊,鑑於上述原因,針對建設類股建置一個全面且可實際執行的選股策略模型,以降低建設類股投資門檻,有其必要性與急迫性。本研究透過網路爬蟲程式爬取臺灣上市櫃每日收盤行情資料、月營收資料及財務報表資料,進而自動計算獲利能力、成本費用率、每股比率、成長率、償債能力、經營能力等六大面向共計48個基本面財務指標,使用機器學習演算法交併挑選具有解釋能力的基本面指標後,以FBI演算法進行選股指標條件優化,並採三種具代表性的投資組合權重優化模型進行報酬績效比較,從中選取表現最佳的權重分配模型。歷史回測顯示,本研究所提出之啟發式演算法優化多因子投資組合模型,於臺灣上市櫃建設類股與全部類股均適用,可有效且穩定地獲取優於市售股票型基金之超額報酬。其中,建設類股以獲利能力面財務指標:ROE稅後,選股策略表現最佳,全部類股則主要以成本費用率面財務指標:研究發展費用率,具有最佳的篩選性。
本研究之分析結果顯示:建設類股投資組合具有基期低、易入手及抗跌之特性適合散戶投資人操作,即使不具備金融投資專業知識的投資人也可採用本研究所提出之整體最佳選股策略以相對較低之風險穩定獲取高於市場績效的超額報酬。研發的雛型成果亦可提供專業投資顧問或證券投資機構作為初步投資組合篩選之工具,配合其自身專業概念及市場分析混合搭配各種投資組合權重分配模型,靈活且自由地進行基金操盤。
The high-risk nature of the construction industry is exacerbated by its susceptibility to government policies. Since the implementation of International Financial Reporting Standards in 2013, Taiwanese construction companies have been permitted to report profits only when the ownership of the construction project has been transferred to a buyer. Under these conditions, it has been difficult to predict the sales revenue of construction companies, with the result that many high-quality construction firms are underrated by the market. Note that this has had a profound impact on the capital structure and development of the industry. This paper developed a comprehensive and practically executable stock selection model for the construction industry. Machine learning is used to guide the selection fundamental indicators toward factors with explanatory power, and the Forensic-Based Investigation algorithm (FBI) is used to optimize stock selection conditions. Three portfolio optimization models (Equal weighted, Mean-Variance, and Hierarchical risk parity) were adopted to further enhance the performance of our trading model. Out-of-sample back-testing results indicate that stocks in the construction industry are a viable investment, due to their low base period, easy acquisition, and resistance to abrupt drops during financial crises. This model can also be used as a tool by which to implement initial investment portfolio screening. In simulations, the proposed metaheuristic-optimized multi-factor-based trading model outperformed 0050TW and 0056TW in terms of stable excess returns.
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