本研究之主要結果有兩點，首先本文將凱利公式實務應用於金融市場中，根據超額盈餘評價模型(EBO)、基本面選股策略結合EBO安全邊際與動能策略分別建立三個投資組合，並應用凱利公式進行資金控管，實證結果發現短期下使用凱利公式投資績效表現較原始策略差，但長期使用下確實可以提升投資組合之績效並擊敗原始策略；其次本文透過模擬結果發現如錯誤採用離散型凱利公式於金融市場中，將使投資績效表現不佳，而大部分情況下正確使用連續型凱利公式則可以提升報酬並擊敗原始策略。

The main results of this study have two points. First, this article applies the Kelly formula practice to the financial market. Based on the Edwards-Bell-Ohlson model (EBO), the fundamental stock-picking strategy combined with the EBO safety margin and Momentum strategy, three investment portfolios were established, and Applying the Kelly formula for money management, the empirical results show that the investment performance of the Kelly formula is worse than the original strategy in the short-term, but it can indeed improve the performance of the portfolio and beat the original strategy in the long run.

Secondly, the simulation results found that wrong use of discrete Kelly formulas in financial markets will result in poor investment performance. In addition, the correct use of the continuous Kelly formula can increase returns and beat the original strategy.

摘要 i
Abstract ii
第一章 緒論 - 1 -
第1.1節 研究背景與動機 - 1 -
第1.2節 研究貢獻 - 1 -
第二章 文獻探討 - 2 -
第2.1節 凱利公式 - 2 -
第2.2節 超額盈餘模型(EBO) - 9 -
第三章 研究方法 - 12 -
第3.1節 資料說明 - 12 -
第3.2節 凱利公式 - 13 -
第 3.3節 超額盈餘評價模型(EBO) - 14 -
第3.4節 選股策略 - 20 -
第四章 實證結果 - 22 -
第 4.1節 蒙地卡羅模擬 - 22 -
第 4.2節 凱利公式 - 投資組合 - 25 -
伍、結論與建議 - 30 -
參考文獻 - 31 -
中文文獻 - 31 -
英文文獻 - 31 -

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