自Markowitz(1952)年的投資組合理論開始，以效率前緣說明效率投資組合的概念及面對固定報酬或風險時的選擇，此後，有關資產配置的研究越來越豐富與多元。而在股票市場中，投資人常過於追求高報酬，容易忽略背後風險的高低，近年來，對於下行風險預測的意識提高，也讓不少民眾選擇轉向較消極的投資策略。台灣股票市場中，2003年台灣50ETF股票上市，該檔股票追蹤台灣50指數的特性，被視為能夠代表市場整體表現大致態樣的一檔股票。為了解最小變異數投資組合，是否能獲得比代表市場的投資組合更優異的表現，本研究比較以台灣50指數成分股，運用最小變異數投資法估計各檔股票的最適權重後，以該權重組合成一投資組合並買進持有，計算利用此方式所得的績效，再與台灣50ETF的績效比較分析二者之間的風險與報酬。研究期間自2003年7月至2019年6月止，共計192個月的歷史資料，樣本為此期間的台灣50ETF及台灣50指數成分股資料。
實證結果顯示，最小變異數投資法相較於台灣50ETF，不僅投資組合的波動度較低，也有較高的報酬率，此外，單位風險下所能獲得的超額報酬表現亦較佳。因此，以此結果看來，最小變異數投資法可當作台灣股票市場優於市場投資組合的策略。

Since Modern Portfolio Theory was introduced by Markowitz in 1952, the concept of efficient frontier has been discussed and utilized till nowadays. In the past few decades, both academics and industry practitioners have been searching for a number of investment mandates or products to do the optimal asset allocation. The Taiwan 50 ETF(stock no. 0050), tracks the Taiwan 50 Index, is thought to be a good indication of movement in the Taiwan stock market as a whole. On the other hand, the long-only minimum-variance (MV) investing aims to minimum the portfolio risk is getting a rise in fame.
This study compare the performance and volatility between the 0050 and the MV portfolio. The constituents of the TWSE Taiwan 50 index serve as the underlying universe for constructing the MV portfolio, and the sample period is from July 2003 to June 2019. Follow the sample Covariance Model demonstrated by Markowitz, we use the components of the 0050 to figure out the optimal weights of each stock that would lead to a minimum variance, and then use the weights found to construct a portfolio, which called the MV portfolio. The results shows the MV portfolio has a lower volatility and a higher return compared to 0050 over the sample period, just as the same concept applied to various markets by previous researchers.

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中文文獻
李振婷，最小變異數投資組合在台灣股市之運用，國立政治大學國際經營與貿易研究所碩士論文，2014。
張怡婷，台灣股市投資組合績效之比較，國立成功大學財務金融研究所碩士論文，2012。