資產配置著重於將有限資金以適當比例分配至不同資產中，以獲取報酬或避險。本文以實證為目的，選取 5 個較入門的投資組合模型，以追蹤道瓊工業平均指數的基金為大盤指標和組成道瓊工業平均指數的 30 間公司為標的資產，代入模型中算出最適權重，再比較各個投資組合的價值表現和報酬率，探討模型應用在實務的情況。

In this thesis, we use 5 asset allocation models, mean-variance portfolio, mean-Value at Risk Model, mean-Conditional Value at Risk Model, Treynor-Black Model and Black-Litterman Model, to simulate the portfolio weights with the components of the Dow Jones Industrial Average as the underlying assets. We show the performances of the portfolios by comparing the rate of return, standard deviation and the Sharpe Ratio. Most of the portfolios have lower return, standard deviation and the Sharpe Ratio than the SPDR Dow Jones Industrial Average ETF Trust, which is regarded as the market portfolio and the benchmark in the thesis. We also use an example to show the effect of the view in Black-Litterman Model on the change of portfolio weights.

1 前言 1
2 文獻回顧 2
3 研究方法 5
4 實證研究 15
5 結論 23
參考文獻 25

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