不同產業投資組合之風險與報酬分析—以台積電、台新新光金及寶雅為例

Abstract

中文摘要 本專案報告旨在以半導體產業之台積電、金融保險業之台新新光金，以及居 家生活產業之寶雅作為研究對象，探討不同產業間之風險與報酬關係，並分析跨 產業投資組合之風險分散效果。研究透過投資組合理論與財務分析方法，計算各 公司之報酬率、標準差、變異係數、共變異數及相關係數，進一步建立最適投資 組合。 此外，本研究利用效率前緣線、資本市場線及資本資產定價模型（CAPM）分 析投資組合配置效果，評估不同資產配置下之風險與報酬表現。研究結果發現， 最適資金配置權重為台積電 48%、台新新光金 34%、寶雅 18%，此配置使整體組 合標準差降至 1.3153%，成功發揮風險分散效益；且 CAPM 評估顯示三檔個股之 預期報酬率皆大於必要報酬率，具備超額報酬潛力。 基於上述結果，本研究建議投資人實務上可採行「攻守兼備」之資產配置策 略。研究結果可提供投資人於市場波動環境下之投資配置參考，並依據個人風險 屬性進行動態調整，進而提升資金運用效率與風險控管能力。

Abstract This project report aims to examine the relationship between risk and return across different industries and analyze the risk diversification effects of a cross-industry investment portfolio, focusing on Taiwan Semiconductor Manufacturing Company (TSMC), Taishin Shin Kong Financial Holding, and Poya. Utilizing modern portfolio theory and financial analysis methods, this study calculates the returns, standard deviations, coefficients of variation, covariances, and correlation coefficients of each company to further establish an optimal investment portfolio. Furthermore, this study employs the efficient frontier, capital market line (CML), and Capital Asset Pricing Model (CAPM) to analyze the effectiveness of portfolio allocation and evaluate the risk and return performance under various asset configurations. Empirical results reveal that the optimal portfolio weights are 48% for TSMC, 34% for Taishin Shin Kong, and 18% for Poya. This allocation successfully reduces the portfolio's standard deviation to 1.3153%, demonstrating effective risk diversification. Moreover, the CAPM evaluation indicates that all three stocks possess the potential for excess returns. Based on these findings, this study suggests that investors adopt an "aggressive- defensive" asset allocation strategy in practice. The research results can provide investors with an investment allocation reference in a volatile market environment and allow for dynamic adjustments based on personal risk attributes, thereby enhancing capital utilization efficiency and risk management capabilities.