[[alternative]]A study of an approximate global optimal integer solution of the portfolio

碩士商業教育學系[[abstract]]許多投資組合模式都有一個衡量投資績效的指標。有的是追求投資風險最小，有的是追求投資報酬最大。本研究採用投資績效指標Sharpe ratio建構了一個投資組合模式，目的是要同時追求風險最小與報酬最大。 在許多和投資組合求解的相關研究中，所求的解多為各投資項目的投資金額。但應用於股票之投資組合，所求的解為各投資項目的投資張數比較符合實際交易的狀況。因此本研究所提之模式，可求得股票張數的整數解。此外，還加入交易費用的考量，最後進行線性轉換，求得近似全域最佳整數解。[[abstract]]Many portfolios contain a performance measure. Some of the performance measures pursue minimizing risk and some of them pursue maximizing return. This paper takes Sharpe ratio as a performance measure to establish a model, with the goal of minimizing risk while maximizing. Studies related to obtaining a portfolio solution showed how much money an invester should invest. However, the stock portfolio which suggests how much stocks an invester should buy is more realistic. This proposed model can obtain a solution of how much stocks an invester should buy. In addition, the transaction fee is included in the model. Finally, we obtain an approximate global optimal solution through linearlization method