本研究使用滿足隨機優越特性的兩個風險指標，Aumann and Serrano(2008)所提出之風險指標(AS風險指標)與Hong and Zhai(2010)提出之其修正的風險指標(HZ風險指標)，來衡量台灣股票市場的風險，並研究此兩個指標與台股報酬率及個股財務變數的相關性。
研究結果發現，AS風險指標與平均日報酬率呈現負相關；HZ風險指標則與平均日報酬率為正之個股呈現正相關，與平均日報酬率為負之個股呈現負相關；兩個新的風險指標都與標準差呈現正相關。針對兩個風險指標進行排序後，發現AS風險指標與HZ風險指標對個股的風險排序並不一致，顯示這兩者對於風險的衡量並不全然相同，但兩者具有顯著正相關。利用風險指標進行選股，以HZ風險指標作為參考指標比用標準差所得之報酬率高；選擇風險低的股票投資組合進行投資，其報酬率也比大盤來的好。在個股公司研究方面發現，個股公司的營運與整體經濟環境相關度越高或個股公司快速成長，則個股的風險越高；個股公司規模越大或ROE高，則其風險會比較小。

This study adoptstwo risk indices that satisfies stochastic dominance. One was demondtrated by Aumann and Serrano in 2008 (AS index) and the other was demondtrated by Hong and Zhai in 2010 (HZ index).Both of these indices are used to calculatethe risk of Taiwan stock market. And study their correlation with the return of Taiwan stock market, and correlation with financial variables of Taiwan’s companies.
The study finds that AS index and the average daily return are negative correlation.If the average daily return is positive, the relationship between it andHZ index is positive; if the average daily return is negative, the relationship between them is positive. By sorting these two indices, the study finds that they are not the same entirely in risk measurement, but AS index is positive related to HZ index. Furthermore, the return is higher by using HZ index instead of standard deviation and TAIEX as the base for portfolio choosing. As for the section of company research, the risk of the company will be higher if the business operation is highly correlated to the overall economic environment or the company grows rapidly. If the company size is bigger or ROE is higher, the risk of the company will be lower.

壹、中文部分
(1) 陳慧芬，「風險指標之實證研究-以台灣類股資料為例」，碩士論文，國立台灣大學，臺北 (2010)。
(2) 梁允綺，「Riskiness之應用：以跨國證券市場為例」，碩士論文，國立台灣大學，臺北 (2011)。
(3) 江易燊，「新風險指標Riskiness在保險業風險管理上的應用」，碩士論文，國立台灣大學，臺北 (2011)。
貳、英文部分
(1) Markowitz, H. M., “Portifolio Selection”, The Journal of Finance, Vol.7, pp. 77-91 (1952).
(2) Aumann, Robert J., and Serrano, Roberto, “An Economic Index of Riskiness”, Journal of Political Economy, Vol.116, pp. 810-836 (2008).
(3) Foster, D. P., and Hart, S., “An operational measure of riskiness”,Journal of Political Economy , Vol.117, pp. 785-814 (2009).
(4) Bali, Turan G., Cakici, Nusret, and Chabi-Yo, Fousseni, “Riskiness Measure and Expected Returns”, Social Science Research Network (2011).
(5) Homm, Ulirich, and Pigorsch, Christian, “Beyond the Sharpe Ratio: Performance Measurement with an Economic Index of Riskiness”, European Economic Association & Econometric Society,2011 Parallel Meetings(2011).
(6) Shalit, Haim, “Measuring Risk in Israeli Mutual Funds: Conditional Value-at-Risk vs. Aumann-Serrano Riskiness Index”, Ben-Gurion University of the Negev(2012).
(7) Hong, Jiang, and Zhai, Jian, “An Objective Measure of Risk”, Industrial Engineering and Engineering Management(IEEM), 2010 IEEE International Conference, pp.1836-1839 (2010).