於現今經濟情勢混沌不明，令人想起價值投資的投資策略方法，期望
在任何環境下，只要篩選出的股票是具有獲益潛力，則可趁勢進場，獲取
超額收益。本論文嘗試以基本面分析為主體建構三步驟的資產配置流程。
第一步驟使用比例交集法進行資產選擇，而多因子方法通常比單因子所篩
選的報酬率更優異，且加上月營收成長率作為篩選條件其報酬率更是亮眼。
再者，第二步驟透過風控管指標選股發現，當採用 GSR 做為資產選擇的條件時，可達到最佳的表現。最後於最適權重的配置之中，資產模型及目標函數會因為不同的資產組合而有不同的效果，其中，當 FCFY(0.1) &
ROA(0.2)加上月營收成長率20%做為篩選條件並使用GSR進行二次篩選後，使用 ARMA(1,1)-GARCH(1,1)且目標函數為最大化夏普指標時可達最大報酬。

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