本研究旨在探討加權範數最小變異數投資組合(WNMVP)於半導體產業中的實證應用，並評估其在全球供應鏈危機下晶片短缺期間的風險管理與資產配置效能。半導體產業具備高資本密集、技術快速迭代與景氣循環明顯等特性，在COVID-19疫情爆發後，伴隨地緣政治等因素交織影響，產業供需失衡加劇，投資市場波動顯著上升，傳統投資策略在此情境下面臨挑戰，故本研究以範數懲罰策略為核心，檢驗其於極端市場環境中之穩健性與應用價值。
研究以費城半導體指數成分股為基礎標的，建構WNMVP策略並與三項基準投資策略─均等權重(1/N)、限制賣空最小變異數投資組合(NSMVP)、全域最小變異數投資組合(GMVP)進行比較。研究期間涵蓋2014年至2024年，並特別分析2020年9月至2022年底之晶片短缺危機期間之績效差異，採用擴張視窗法進行樣本外測試，並以夏普比率、確定性等價報酬率、周轉率等多項指標評估績效。
實證結果顯示WNMVP於正常市場與危機期間皆展現優異的風險調整後績效，然而納入目標報酬限制將顯著削弱績效，特別是在危機期間更易造成樣本外表現惡化。顯示不同懲罰機制在不同市場環境下具備異質性與策略價值。

This study investigates the Weighted-Norm Minimum Variance Portfolio (WNMVP) strategy in the semiconductor industry during a period marked by unprecedented supply chain disruptions. Characterized by capital intensity, rapid technological advancement, and cyclical patterns, the semiconductor sector faced extreme volatility during 2020–2022 as COVID-19 and geopolitical tensions created severe chip shortages and market instability. Using the PHLX Semiconductor Index constituents from 2014 to 2024, we compare WNMVP against three benchmark strategies—equally weighted (1/N), no-short-sale minimum variance (NSMVP), and global minimum variance portfolios (GMVP)—through expanding window out-of-sample tests with comprehensive performance metrics.
Our findings reveal WNMVP's robust risk-adjusted performance across both normal and crisis periods. However, imposing target return constraints significantly deteriorates performance, particularly during market turbulence.
These results suggest that norm-penalized optimization approaches offer valuable risk management tools for industries experiencing structural supply-demand imbalances and extreme volatility, while also indicating the importance of selecting appropriate penalty functions based on prevailing market dynamics.

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