本研究主係探討以國內（台灣）投資者的角度，藉由多角化投資決策能分散投資組合非系統風險之特性，藉由選取國際投資組合標的納入原始投資組合內，觀察其「投資機會集合」，亦即「效率前緣」之變化。本研究共分為五大部分執行測試，實證結果發現，投資人分別將所選取之國際投資標的納入原始投資組合，均能有效提升投資組合績效，尤以加入已開發市場投資標的最為顯著；已開發市場投資標的比新興市場投資標的更能有效提升投資組合之績效與降低風險；政府公債指數在測試結果中被證明能有效降低投資組合的風險；在已擁有已開發國家相關資產的基礎投組中加入已開發國家相關之期貨與選擇權指數，對投資組合績效提升效益不高，反之，加入僅擁有新興市場資產的基礎投組則績效提升效益較顯著；當基礎投資組合包含新興市場資產投資組合時，納入原物料指數投資組合後，較能提升投資組合的績效表現。 This study examines whether domestic（Taiwan）investors can improve their investment opportunity sets by adding internationally diversified portfolio to a set of benchmark portfolios. Using the selected data from 2001-2006, we find that adding internationally diversified portfolios does lead to a statistically significant improvement of investment performance. The developed stock market portfolios are the main source of this augmentation of the mean-variance investment opportunity set. Bond indices portfolios are proved by our tests to effectively diversify the risk of investment portfolios. In addition, investors can improve their investment opportunity sets much more by adding developed market futures & option indices to a set of benchmark portfolios including emerging market assets than the one including developed market assets only. Finally, investors can further improve their investment opportunity sets by adding commodity indices portfolio to a set of benchmark portfolios including emerging market assets.
