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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/34128


    Title: 學習效果下確定提撥制退休基金之最適資產配置
    Authors: 葉政瑋
    Contributors: 張士傑
    葉政瑋
    Keywords: 確定提撥
    薪資所得
    跨國投資
    學習效果
    費雪關係式
    Date: 2005
    Issue Date: 2009-09-18
    Abstract: 本研究基於退休基金經理人之觀點探討確定提撥退休基金計畫之跨期最適投資策略，分析退休計畫中成員薪資所得不確定以及跨國投資風險對於基金投資決策的影響。首先，由於匯率之波動將顯著增加跨國投資收益之風險，本研究引用Xia (2001)考量學習效果預測跨國匯率過程，修正匯率之動態隨機過程；搭配跨國費雪關係式進一步假設國內為名目利率差與匯率的關係式，使得投資策略得以納入匯率的學習效果。其次，薪資所得波動對於提撥有所影響，因此本研究推廣Boulier et al. (2001)對於成員勞動薪資之假設，假設通貨膨脹率及實質利率將影響成員服職期間之薪資所得，基金經理人將策略地調整基金投資標的物之部位以規避成員薪資風險。最後，本研究呈現完整之跨期投資策略及詳細之數值計算結果，清楚說明退休基金經理人於追求最適投資組合及避險考量之關係。研究結果顯示，基金經理人可以透過資本市場消弭薪資所得的不確定性，而匯率的學習效果將影響在國外現金部位的變化。
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    Description: 碩士
    國立政治大學
    風險管理與保險研究所
    93358023
    94
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0093358023
    Data Type: thesis
    Appears in Collections:[Department of Risk Management and Insurance] Theses

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