本論文以1998年1月至2014年2月台灣股票市場上市、櫃股票作為投資標的，首先利用每季公布之財務報表，以市值、股票月週轉率、負債比率、EPS、ROE及本益比等六項指標篩選股票，並根據ASKSR股票評分指標將股票排序，選出前n檔股票作為投資標的。研究使用樣本內資料估計出多元Gaussian-Copula-GJR(1,1)-t資產模型的參數、以它產生多組資產組合報酬的預測，藉由CRRA效用函數、Mean-Variance效用函數、Sharpe ratio效用函數及CARA效用函數最適化權重進行投資。研究發現使用GJR(1,1)-t模型、ASKSR股票評分指標、10天調整投資組合一次及CARA (λ=1) 效用函數下，投資組合不論在期末淨值或整段投資期間的績效上，都優於等權重投資策略。

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