各種不同的投資組合均存在風險。本研究所探討的最小變異數投資組合，則是用來衡量多個投資組合的變異數後，選擇最小的變異數來進行投資的投資組合。
Markowitz (1952)年提出的投資組合理論被視為是最早提出的投資組合理論，其中以效率前緣說明效率投資組合的觀念，當面對報酬及風險時的最佳選擇。而在股票市場中，投資人為了追求高報酬，往往忽略背後風險，當發現時往往造成莫大損失。然而，近年來投資人對於風險的意識提高，也讓不少投資人選擇轉向選擇ETF進行資產配置。
為了解最小變異數投資組合，是否能與ETF比較後，獲得更多的超額報酬，本研究以元大台灣高股息證券投資信託基金(0056)成份股，運用最小變異數投資法以及夏普值極大化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，再與元大台灣高股息證券投資信託基金(0056)的績效比較分析二者之間的風險與報酬。研究期間自 2007 年 12 月至 2022 年 03 月止，共計 172 個月的歷史資料。

There are risks associated with various portfolios. The minimum variance portfolio in this study is a portfolio in which the minimum variance is selected after measuring the variance of multiple portfolios.
Markowitz's (1952) Rational Theory of Portfolio is considered to be the earliest Rational Theory of Portfolio, in which the concept of efficient portfolio is illustrated by the leading edge of efficiency, which is the best choice when faced with reward and risk. In the stock market, investors tend to ignore the risk behind in order to pursue high returns, which often leads to great losses when they occur. However, in recent years, investors' awareness of risk has increased, and many investors have chosen to switch to ETFs for asset allocation.
In order to understand whether the minimum variance portfolio can achieve more excess returns when compared with ETFs, this study uses the constituent stocks of Yuanta Taiwan High Dividend Investment Trust (0056) to estimate the optimal weighting of each stock using the minimum variance investment method and Sharpe value maximization, then uses the weighting to form a portfolio and buys and holds it. The performance of this method is then compared with that of Yuanta Taiwan High Dividend Investment Trust (0056) to analyze the risk and reward between the two. The study period is from December 2007 to March 2022, with a total of 172 months of historical data

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