政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/34125
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 109952/140887 (78%)
Visitors : 46346050      Online Users : 1380
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/34125


    Title: 確定提撥制下之投資策略模擬分析
    Authors: 王曉雲
    Contributors: 黃泓智
    王曉雲
    Keywords: 確定提撥制
    退休年齡風險
    最適投資組合
    Date: 2006
    Issue Date: 2009-09-18
    Abstract: 勞工退休金條例的實施喚醒國人對退休後生活的重視，開始著重退休財務規劃。確定提撥制下，提撥期間退休準備金之運用深深影響退休時之帳戶金額，對員工影響甚鉅，故資金運用乃是由員工自行決定，投資風險由員工承擔，而投資報酬率對退休所得替代率影響甚鉅，提升報酬率能讓員工退休時有足夠的退休金，當考量退休金能有抗通貨膨脹風險時，更需要較高的報酬率來避免通貨膨脹風險。
    本研究採用隨機投資模型模擬股票、債券及兩年期定存報酬率，運用不同投資策略，衡量各種可能投資組合之投資績效與風險，並進一步設計各投資策略之生命週期投資模式，以期分析多期投資策略是否有較大之報酬率、較小之風險。本研究建立最適投資策略之目標函數，供投資者選擇適用之目標函數，在設定控制變數下，尋找最適資產配置。
    在不考慮生命週期策略時，CM投資策略最為有效率，且單位風險報酬最高，CPPI則無論投資組合如何配置，都具有高風險高報酬之特性。比較生命週期時，35年期投資期間，TIPP生命週期投資策略較TIPP為佳，而BH生命週期在35年與20年投資期間有較BH有效率之現象。當高風險投資標的變異大時，不宜採用高風險之投資組合，會造成高風險低報酬之情形。另投資者可以根據本研究之最適投資策略設定，選擇最符合自身風險之最佳資產配置策略。
    Reference: 1. Brinson, G.P., and Singer, B.D., and Beebower, G.L., (1991),”Determinants of portfolio Performance II：An Update”Financial Analyst Journal,Vol. 47,Iss. 3,p40-48.
    2. Brennan, M.J., and Schwartz, E.S., and Lagnado, R.,(1997),”Strategic asset allocation.”Journal of Economic Dynamics and Control, 21,p1377-1403.
    3. David Blake,and Andrew J.G. Carins,and Kevin Dowd, (2001),”Pensionmetrics：stochastic pension plan design and value-at-risk during the accumulation phase.”Insurance：Mathematics and Economics,Vol29,p187-215.
    4. Thomson, R.J.,(1998),”The use of utility functions for investment channel choice in defined contribution retirement funds.”In：Trans,16th Conf. Int. Assoc. Cons. Act.
    5. Vigna, E.,and Haberman, S.(2001),”Optimal Investment Strategy for defined contribution pension schemes.”Insurance mathematics and Economics,28,p233-262.
    6. Plaxco, L.M.,and Arnott, R.D.,(2002),”Rebalancing a Global Policy Benchmark.”Journal of Portfolio Management,Vol.28 Iss.2,p9-22.
    7. Perold, A.F. and W.F. Sharpe(1988),”Dynamic Strategies for Asset Allocation.”, Financial Analysts Journal,16-27.
    8. Andrea Consiglio,and Flavio Cocco, and Stavros A.Zenios,(2002),”Scenario optimization asset and liability modeling for individual investors.”working paper 02-07.
    9. Paolo Battocchio,and Francesco Menoncin,(2004),”Optimal pension management in a stochastic framework.”,Mathematics and Economics,p79-95.
    10.Markowitz, Harry M.,(1952),”Portfolio Selection.”Journalof Finance,March,p77-91.
    11.Sharpe, W.F.,(1966),”Mutual fund performance.”Journal of Business,39,p119-138.
    12.Sharpe William, Fall 1944,”The Sharpe Ratio.”,The Jurnal of Portfolio Management,Vol. 21,Iss. 1,p49-58.
    Description: 碩士
    國立政治大學
    風險管理與保險研究所
    93358009
    95
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0093358009
    Data Type: thesis
    Appears in Collections:[Department of Risk Management and Insurance] Theses

    Files in This Item:

    File Description SizeFormat
    35800901.pdf43KbAdobe PDF2745View/Open
    35800902.pdf77KbAdobe PDF21045View/Open
    35800903.pdf65KbAdobe PDF2699View/Open
    35800904.pdf57KbAdobe PDF2784View/Open
    35800905.pdf152KbAdobe PDF2997View/Open
    35800906.pdf142KbAdobe PDF21230View/Open
    35800907.pdf280KbAdobe PDF2885View/Open
    35800908.pdf122KbAdobe PDF25483View/Open
    35800909.pdf74KbAdobe PDF2849View/Open
    35800910.pdf39KbAdobe PDF2709View/Open
    35800911.pdf59KbAdobe PDF2870View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback