The purpose of this paper is to find out which Generalized Sharpe Ratio in VaR or variance form used for portfolio selection has better performance on Taiwan stock market. The empirical evidence based on the above two models derived in the same types of formula in this paper shows: (1) no matter whether the portfolios are screened and selected by two Sharpe Ratio models or not, the performance and the.rank of performance among the three portfolios are not significantly different; (2) the ex ante Sharpe Ratio models are not suitable for decision making in portfolio selection on Taiwan stock market where the stock prices fluctuated frequently.