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    Title: 不良資產投資組合之分析
    Authors: 洪式韻
    Hung , Shih-Yun
    Contributors: 張金鶚
    洪式韻
    Hung , Shih-Yun
    Keywords: 不良資產
    投資組合
    資產管理公司
    不動產
    Non-Performing Asset
    Portfolios
    AMC
    Real Estate
    Date: 2004
    Issue Date: 2009-09-18 16:25:27 (UTC+8)
    Abstract: 我國金融機構合併法第十五條,允許資產管理公司以整包、群組化的方式處理不良資產。本文即以現代投資組合理論(MPT)為基礎,探討不良資產中有關不動產組合的類型、區位與價格規模對不動產組合效率的影響。相較傳統應用於金融資產的投資組合概念,本文主要特色是:根據「風險分散」的原理,不動產投資組合以國內地理區分散、類型分散的投資組合方式為主。在不動產的投資組合運用上,由於不動產市場的資訊不透明、缺乏流動性、高昂的交易成本,特別是不動產間的產品高度異質性,影響投資者運用「縱斷面」時間序列的不動產價格資料,分析不動產組合報酬與風險之結果,因此本篇研究改從「橫斷面」的角度,將不良資產價格資料進行個體不動產的組合模擬。實證的結果發現:(1)不動產組合價格與報酬風險呈現非線性的關係;當不動產組合金額愈大或愈小時,越有可能形成效率的投資組合;若組合中的不動產具有強烈的異質性,則小規模的不動產組合,即可達到效率組合的要求。(2)個體不動產組合內容異質程度愈高,亦可達到與傳統財務投資組合理論相同的分散風險效果。(3)個體不動產異質程度方面,不動產在「區位」多角化後之組合效率,其效果高過於不動產在「類型」多角化後之組合效率。
    Reference: 【中文部分】
    中華經濟研究院,「主要國家建立不良金融資產處理機構之經驗及成效」,行政院經濟建設委員會委託研究,民國八十九年一月。
    吳英花編著,「不良債權處理實務」,台灣金融研訓院,民國九十年十一月。
    吳英花編著,「資產管理公司處理不良金融資產之探究」,台灣金融研訊院,民國九十一年七月。
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    廖啟涵,「本國銀行不良債權抵押品鑑價、回收率及處理方式之研究」,中央大學財務金融研究所碩士論文,民國九十二年六月。
    【英文部分】
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    Martins, L. F., C. Petrov and J. M. Kelly(2001), “Managing Market Risk for an Emerging Market Debt Portfolio”, Journal of Portfolio Management, 75-90.
    Mueller, G. R. and S. P. Laposa(1995), “Property-Type Diversification in Real Estate Portfolios : A Size and Return Perspective”, Journal of Real Estate Portfolio Management, 1:1, 39-50.
    Richard, B. Gold(1995), “Why the Efficient Frontier for Real Estate Is Fuzzy”, Journal of Real Estate Portfolio Management, 1:1, 59-65.
    Vassal, V. de(2001), “Risk Diversification Benefits of Multiple-Stock Portfolios”, Journal of Portfolio Management, Winter, 32-39.
    Viezer, T. W.(2000), “Evaluating Within Real Estate Diversification Strategies”, Journal of Real Estate Portfolio Management, 6:1, 75-95.
    Webb, J. R.(1984), “Real Estate Investment Acquisition Rules for Life Insurance Companies and Pension Funds : A Survey”, AREUEA Journal, 12:4, 495-520.
    Wolverton, M. L., P. Cheng and W. Hardin Ⅲ(1998),”Real Estate Portfolio Risk Reduction Through Intracity Diversification”, Journal of Real Estate Portfolio Management, 4:1, 35-42.
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    Description: 碩士
    國立政治大學
    地政研究所
    92257002
    93
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0922570021
    Data Type: thesis
    Appears in Collections:[地政學系] 學位論文

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