在投資股票市場中，該選擇哪個投資標的，該投資多少資金，何時買入，何時賣出等各種投資策略，都須有良好的決策，才不會因為股票市場的變化快速成為股票市場中的犧牲者，於是找出在股票市場中合適的投資策略成為投資者最關心的議題。在股票市場的投資策略中，以選股、擇時和資金配置為最重要的基本概念，而在過去的文獻中，大多只針對其中一種或兩種投資策略進行探討，較少有三種策略的整合研究。 於是本研究希望藉由遺傳演算法的最佳化特性，根據八大類股的歷史資料，同時考量多重準則，找出八大類股的合適投資資金分配比重以完成選股及資金配置的策略，並在擇時方面，透過類神經網路結合Ohlson model預測出股票的實際價值，以評估所購買的類股在市場上的真實價值，使其做為買賣八大類股的依據，藉此獲得高額的報酬，此外，亦可做為融劵的參考，本研究與買賣八大類股的top20基金比較，驗證本研究的確能為投資者做出好的投資決策以獲取優渥的利潤。 In order not to be a victim in the rapidly changing stock market, it is required to have the good investment strategies like which investment target to choice, how much capital to invest, when to buy or sell in investment stock market. Thus, to find the appropriate investment strategies in the stock market is become the most critical issue for investors. Selection, timing, and capital allocation is the most important investment strategies in the stock market. There are one or two investment issues for discussion in the past most of the literatures, but not three integration topics. Therefore, this research takes advantage of the optimization characteristic of genetic algorithms, by the historic data of eight major stock categories, and consideration of multi-criteria, to find out the appropriate capital allocation in eight major stock categories and to complete the strategy of selection. For timing, combining the artificial neural networks and Ohlson model to predict the real value of the stock in the market and to be the basis of buying or selling the stock to get high rewards. Beside, it also can be a reference to margin transaction. This study is compared with the top20 Funds in eight major stock categories to verify the method proposed by this study really can get generous profits for investors to make investment decisions.