資產配置乃是將資金分散投資到主要的資產類別中,例如股票、債券、現金等。傳統的平均數-變異數方法在資產配置上早已被廣泛的運用。但是,現今的金融環境多變,多期資產配置的需求提高,傳統平均數-變異數方法只處理單一期間的資產配置,且反應未來的能力不佳,顯然已經不適用。 本文引進Stochastic Programming之基本概念,依據投資人之投資需求以及投資限制,建立一般化模型。最後再利用套裝軟體「AMPL+MINOS 5.5」求解所建立之隨機規劃方程式,得到決策初期所需建立之資產部位,以及未來各期、各種情境下所需採取之動態調整策略,可以改良過去單點估計值的缺點,同時能夠將未來情境納入考量,使得多期資產配置更富策略性。並實証在兩期的情況下,期中調整資產組合的結果。從而瞭解持續的動態規劃,方能提升資產配置的效率性。 Asset allocation is the process of dividing an investment fund among major asset classes such as equities, bonds, cash, etc. Traditional mean-variance portfolio selection is widely used for asset allocation. However, as time goes by, the financial condition changes rapidly. The method of mean-variance analysis has some limitations. It not only can’t deal with multiperiod asset allocation, but also cannot reflect future economic circumstances, especially for long-term investments. This research introduce Stochastic Programming concept and apply this method. We set a general programming model according to investor investment requirements and limitations construct. The stochastic model was implemented using standard modeling and optimization software (AMPL+MINOS 5.5 ). This method can improve the pits of single estimate in using mean-variance analysis, and take future scenarios into account so that the model will become more useful in practice. The two-period empirical results have shown that using continuous dynamic programming to build strategic asset allocation decision can improve the efficiency of asset allocation.