A Study Of Decision Making On Investment Portfolio

This empirical study of Decision Makings on Investment Portfolio for mutual fund of Taiwan technology stocks is based on the following analytical methods:Achievements fund screening law-Data Envelopment Analysis, Achievements stock screening law-Grey Relation Analysis, Inventory Control Model and Genetic Algorithm. First of all, the DPEI(DEA portfolio Efficiency Index) is employed to choose those mutual funds with best performance, i.e., Ek= 1, in the Taiwan mutual fund market. Then total numbers of the top-five stocks from each best performance funds are chosen as initial samples. The short-term technique index of Grey Relation Analysis is applied to select the top-five stocks from the best performance stocks as the samples.of this study. In the final stage, the Inventory Control Model and the Genetic Algorithm.method are applied to find the best holding position(proportion) of the stocks, from which the ideal Investment Portfolio can be figured out. The results of this study show that the proposed investment trading strategy and decision making model gained 104.2% and 97.8% rate of return from February 2008 to January 2011, which was better than the average rate of return in the market for all of tech-sector mutual funds. Therefore, it is a possibility that investors use this constructed investment model to choose the investment portfolio and the optimal stock holdings.