本研究透過Black和Scholes（1973）定價模式，並以Rubinstein和Leland（1981）選擇權複製觀念為基礎建立本研究理論架構，研究台商進入中國市場直接投資若需考慮長期直接投資（FDI）過程中建立理論，探討投資組合（Investment Portfolio）保障投資風險。我們運用人工智慧（Artificial Intelligence）之粗燥集合理論（Rough Set Theory）、模糊理論（Fuzzy Theory）、與灰色系統（Grey System），建構濾網（Filter Discipline）形成權變投資組合（Contingent Portfolio）保障投資風險（Insurance）模型，作為判斷中國市場投資長期與短期走勢之依據。我們研究表明在中國市場投資景氣多頭時執行進行直接投資加碼中國市場策略，和空頭時執行緊縮策略則進行保障投資風險權變投資組合複製性賣權（synthetic put option replication）策略，最後再與直接投資持有所有權策略進行績效比較。

This study is built on the model of enter China market that theory is the basis of Taiwanese manufactures long-term investment was developed by Black and Scholes (1973) pricing model, and Rubinstein and Leland (1981) option replication investigating investment portfolio insurance how to protect your investment against risks. We also applied artificial intelligence of Rough Set Theory, Fuzzy Theory, and Grey System to constructed Filter Discipline formed Contingent Portfolio Insurance model as judged the long and short term investment trend in China. Our findings suggested that both invested in China market when the execution of boom overweight and depression strategy executed synthetic put option replication strategy were compared to contingent portfolio insurance. Finally, we deployed with the direct ownership holds of investment strategy for performance comparison.