金融環境瞬息萬變，謹慎投資可以讓我們在未來換取獲取利潤。本研究分別利用財務模型、統計模型及神經網路模型以不同基準挑選資產建構投資組合，比較不同投資組合間的績效，以及投資期的長短對於績效是否有影響、動態投資策略是否有較好的績效表現。實證研究顯示三因子模型投資組合績效表現有時會超過主成分迴歸模型及神經網路模型，套索迴歸模型投資組合較不穩定，三階段模型投資組合績效表現較好。在投資期六個月時各投資組合的風險較大，在投資期二十四個月時所有投資組合幾乎都沒有下方風險，投資時間越長就幾乎能保證獲利。而靜態投資策略不考慮投資期間市場變化，動態投資策略更能掌握市場狀態為投資組合帶來更棒的效益。

The financial environment is changing rapidly, cautiously investing can allow us to earn profits in the future. This research uses financial models, statistical models and neural network models to select assets based on different benchmarks to construct the portfolios, and compare the performance of different portfolios. Also, discuss whether the investment period has any impact on performance or whether dynamic investment strategies performs better. Empirical research shows that the performance of the three-factor model portfolio sometimes outperforms the principal component regression model and neural network model. The portfolio of Lasso is unstable, and the portfolio of Ohit usually has superior performance. When the investment period is six months, each portfolio is volatile, and all the portfolios have small downside risks in twenty-four months. The longer the investment period, the more profitable it is almost guaranteed. While static investment strategies do not pay attention on the market during the investment period, dynamic investment strategies can better catch the opportunity on the market and bring more benefits to the portfolio.

目錄
1 緒論 ...4
2 文獻回顧 ...6
2.1 三因子模型 ...6
2.2 數據科學模型 ...8
2.2.1 套索迴歸 ...8
2.2.2 三階段選模法 ...9
2.2.3 主成分迴歸 ...10
2.2.4 神經網路模型 ...11
2.3 資產配置 ...13
2.3.1 均值-方差理論 ...14
2.3.2 風險平價 ...15
2.4 自迴歸模型 ...16
2.5 投資組合衡量指標 ...17
3 研究方法 ...20
3.1 挑選資產 ...20
3.2 資產配置 ...22
3.3 投資策略擬定 ...22
3.4 評估投資績效 ...23
4 實實實證證證分分分析析析 24
4.1 資料來源 ...24
4.2 實證研究 ...24
4.2.1 實證研究一：投資期六個月 ...25
4.2.2 實證研究二：投資期十二個月 ...30
4.2.3 實證研究三：投資期二十四個月 ...35
5 結論 ...40
6 附錄 ...41
6.1 附錄一 ...41
6.2 附錄二 ...42

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