English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 96274/126892 (76%)
Visitors : 32307736      Online Users : 390
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
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/49674


    Title: 長期投資人之最適資產投資策略分析
    The Optimal dynamic asset allocation strategies for long term investors
    Authors: 黃雅文
    Hwang, Yawen
    Contributors: 張士傑
    Chang, Shih Chieh
    黃雅文
    Hwang, Yawen
    Keywords: 資產配置策略
    長期投資人
    通貨膨脹風險
    確定提撥退休金制度
    收益保證
    學習機制
    Asset Allocation Problem
    Long Term Investors
    Inflation Risk
    Defined Contribution Pension Schemes
    Minimum Guarantees
    Learning Process
    Date: 2008
    Issue Date: 2010-12-08 16:23:54 (UTC+8)
    Abstract: 本研究探討長期投資人之最適資產配置問題,並著重於通貨膨脹風險之分析。第一部份討論確定提撥退休金制度下,機構投資人或高所得自然人如何擬定投資策略規避通貨膨脹風險,達到極大化期末財富效用期望值。此研究擴展Battocchio與Menoncin (2004)所建構資產模型,不僅探討市場風險,亦考量通貨膨脹不確定性與基金費用誘因、下方風險保護兩機制,研究對資產配置行為之影響,並依動態規劃方法求得投資策略公式解。第二部份則強調下方風險之重要性,檢視在最低保證收益下,長期投資人跨期資產配置之財富管理議題,並回顧Deelstra et al.(2003)之模型架構,依平賭方法求得投資策略公式解,研究結果顯示基金投資策略可表示為最適CRRA(γ,T)型態共同基金與最低收益避險之組合。另一方面,如何估計通貨膨脹風險亦為本文強調之重點。Campbell和Viceira (2001)首次納入通貨膨脹風險並探討跨期投資議題,結論市場缺乏通貨膨脹連動投資標的時,投資人將減碼長期債持有比例。Brennan和Xia (2002)假設通貨膨脹率服從Ornstein-Uhlenbeck過程,結論投資人之避險需求隨持有債券到期日與投資期限改變。但以上結論未將通貨膨脹學習機制納入模型,因此,在第三部份提出依學習機制修正之投資策略可顯著增加財富效用,並分析在不同參數設定下,學習機制對於期末財富效用之影響。
    In this study, we study three essays of asset allocation problem for long term investors, which means that in this discourse we emphasis the importance of inflation risk. In the first topic, we derive the dynamic optimal investment strategy of the defined contribution pension schemes which include two mechanisms of partial floor protection and incentive fees and their benchmarks. We find investors should hold high proportion of stock index fund to hedge the inflation risk; moreover, the ratio of incentive fees to the setting of benchmark will change the optimal investment trend of underlying assets. In the second topic, we introduce the optimal investment portfolio with minimum guarantees and show that the fund manager should adjust the optimal weights of underlying assets with the ratio of the guarantee fund's value to the value of fund. Finally, this work focuses on how to precisely predict the dynamics of inflation rate. We apply learning method to adjust the prediction of inflation process and we use numerical analysis to study the effect of learning mechanism under different parameter setting.
    Reference: Bajeux-Besnainou, I., J.V. Jordan and R. Portait, 2001. An Asset Allocation Puzzle: Comment. American Economic Review 91, 1170-1179.
    Bajeux-Besnainou, I., J.V. Jordan and R. Portait, 2003. Dynamic Asset Allocation for Stocks, Bonds, and Cash. Journal of Business 76, 263-287.
    Barberis, N., 2000. Investing for the Long Run when Returns are Predictable. Journal of Finance 55, 225-264.
    Basak, S., 1995. A General Equilibrium Model of Portfolio Insurance. Review of Financial Studies 8, 1059-1090.
    Basel, M.A., S.A.A. Ahmad and M.S. Wafaa, 2004. Modelling the CPI Using a Lognormal Diffusion Process and Implications on Forecasting Inflation. Journal of Management Mathematics 15, 39-51.
    Battocchio, P. and F. Menoncin, 2002. Optimal Portfolio Strategies with Stochastic Wage Income and Inflation: the Case of a Defined Contribution Pension Plan. Working Paper CeRP, No. 19-02. Torino, Italy.
    Battocchio, P. and F. Menoncin, 2004. Optimal Pension Management in a Stochastic Framework. Insurance: Mathematics and Economics 34, 79-95.
    Bawa, V.S., S.J. Brown and R.W. Klein, 1979. Estimation Risk and Optimal Portfolio Choice. North-Holland, New York.
    Bodie, Z., 1990. Pensions as Retirement Income Insurance. Journal of Economic Literature 38, 28-49.
    Boulier, J.F., S.J. Huang and G. Taillard, 2001. Optimal Management under Stochastic Interest Rates: The Case of a Protected Defined Contribution Pension Fund. Insurance: Mathematics and Economics 28, 173-189.
    Bowers, N.L. Jr., J.C. Hickman, and C.J. Nesbitt, 1982. Notes on the Dynamics of Pension Funding. Insurance: Mathematics and Economics 1, 261-270.
    Brennan, M.J., 1998. The Role of Learning in Dynamic Portfolio Decisions. European Finance Review 1, 295-306.
    Brennan, M.J. and Y.H. Xia, 2000. Stochastic Interest Rates and the Bond-Stock Mix. European Finance Review 4, 197-210
    Brennan, M.J. and Y.H. Xia, 2002. Dynamic Asset Allocation under Inflation. Journal of Finance 57, 1201-1238.
    Brennan, M.J., E.S. Schwartz and R. Lagnado, 1997. Strategic Asset Allocation. Journal of Economics, Dynamics and Control 21, 1377-1403.
    Brinson, G.P., B.D. Singer and G.L. Beebower, 1991. Determinants of Portfolio Performance II: an Update. Financial Analysts Journal 47, 40-48.
    Campbell, J.Y. and L.M. Viceira, 1999. Consumption and Portfolio Decisions When Expected Returns are Time Varying. The Quarterly Journal of Economics 114, 433-492.
    Campbell, J.Y. and L.M. Viceira, 2001. Who Should Buy Long-term Bonds. American Economic Review 91, 99-127.
    Campbell, J.Y. and L.M. Viceira, 2002. Strategic Asset Allocation: Portfolio Choice for Long-term Investors. Oxford University Press.
    Campbell, J.Y., J. Cocco, F. Gomes and P. Maenhout, 2001. Investing Retirement Wealth: A Life Cycle Model," in Risk Aspects of Investment-Based Social Security Reform, Edited by Campbell, J.Y., Feldstein, M., editors, Chicago University Press, Chicago.
    Canner, N., N.G. Mankiw and D.N. Weil, 1997. An Asset Allocation Puzzle. American Economic Review 87, 181-191.
    Chang, S.C. and H.Y. Cheng, 2002. Pension Valuation under Uncertainty: Implementation of a Stochastic and Dynamic Monitoring System. Journal of Risk and Insurance 69, 171-192.
    Cox, J.C. and C.F. Huang, 1989. Optimum Consumption and Portfolio Policies when Asset Prices Follow a Diffusion Process. Journal of Economic Theory 49, 33-83.
    Cox, J.C. and C.F. Huang, 1991. A Variational Problem Arising in Financial Economics. Journal of Mathematical Economics 20, 465-487.
    Cox, J.C., J.E. Ingersoll and S.A. Ross, 1985. A Theory of the Term Structure of Interest Rates. Econometrica 53, 385-407.
    Deelstra, G., M. Grasselli and P.F. Koehl, 2000. Optimal Investment Strategies in a CIR Framework. Journal of Applied Probability 37, 936-946.
    Deelstra, G., M. Grasselli and P.F. Koehl, 2003. Optimal Investment Strategies in the Presence of a Minimum Guarantee. Insurance: Mathematics and Economics 33, 189-207.
    Dempster, M.A.H., I.V. Evstigneev and K.R. Schenk-Hoppe, 2003. Exponential Growth of Fixed-Mix Strategies in Stationary Asset Markets. Finance and Stochastics 7, 263-276.
    Detemple, J.B., 1986. Asset Pricing in a Production Economy with Incomplete Information. Journal of Finance 41, 383-391.
    Dothan, M.U. and D. Feldman, 1986. Equilibrium Interest Rates and Multiperiod Bonds in a Partially Observable Economy. Journal of Finance 41, 369-382.
    Dufresne, D., 1988. Moments of Pension Fund Contributions and Fund Levels when Rates of Return are Random. Journal of the Institute of Actuaries 115, 535-544.
    Dufresne, D., 1989. Stability of Pension Systems when Rates of Return are Random. Insurance: Mathematics and Economics 8, 71-76.
    Edwin, J.E., J.G. Martin, and R.B. Christopher, 2003. Incentive Fees and Mutual Funds. Journal of Finance 58, 779-804.
    Eugene E.R. Jr. and A.T. Mary, 1987. Investment Fees: The Basic Issues. Financial Analysts Journal 43, 39-43.
    Feldman, D., 1992. Logarithmic Preferences, Myopic Decisions, and Incomplete Information. Journal of Financial and Quantitative Analysis 27, 619-629.
    Fisher, I., 1930. The Theory of Interest. The Macmillan Company, New York: A.M. Kelly.
    Gennotte, G.., 1986. Optimal Portfolio Choice under Incomplete Information. Journal of Finance 41, 733-746.
    Grossman, S.J. and Z. Zhou, 1996. Equilibrium Analysis of Portfolio Insurance. Journal of Finance 51, 1379-1403.
    Haberman, S., 1992. Pension Funding with Time Delays: A Stochastic Approach. Insurance: Mathematics and Economics 11, 179-89.
    Haberman, S., 1993. Pension Funding with Time Delays and Autoregressive Rates of Investment Return. Insurance: Mathematics and Economics 13, 45-56.
    Haberman, S., 1994. Autoregressive Rates of Return and the Variability of Pension Contributions and Fund Levels for a Defined Benefit Pension Scheme. Insurance: Mathematics and Economics 14, 219-240.
    Haberman, S. and J.H. Sung, 1994. Dynamic Approaches to Pension Funding. Insurance: Mathematics and Economics 15, 151-162.
    Haberman, S. and L.Y.P. Wong, 1997. Moving Average Rates of Return and the Variability of Pension Contributions and Fund Levels for a Defined Benefit Scheme. Insurance: Mathematics and Economics 20, 115-135.
    Heaton, J. and D. Lucas, 1997. Market Frictions, Savings Behavior and Portfolio Choice. Macroeconomic Dynamics 1, 76-101.
    Huang, H., S. Imrohoroglu and T.J. Sargent, 1997. Two Computations to Fund Social Security. Macroeconomic Dynamics 1, 7-44.
    Imrohoroglu, A., S. Imrohoroglu and D. Joines, 1995. A Life Cycle Analysis of Social Security. Economic Theory 6, 83-114.
    Janssen, J. and R. Manca, 1997. A Realistic Non-Homogeneous Stochastic Pension Fund Model on Scenario Basis. Scandinavian Actuarial Journal 2, 113-37.
    Kandel, S. and R.F. Stambaugh, 1996. On the Predictability of Stock Returns: An Asset-Allocation Perspective. Journal of Finance 51, 385-424.
    Karatzas, I., 1989. Optimization Problems in the Theory of Continuous Trading. SIAM Journal on Control and Optimization 27, 1221-1259.
    Karatzas, I. and S. Shreve, 1991. Brownian Motion and Stochastic Calculus. 2nd edition, Springer-Verlag, New York.
    Karatzas, I., J.P. Lehoczky and S.E. Shreve, 1987. Optimal Portfolio and Consumption Decision for a 'Small Investor' on a Finite Horizon. SIAM. Journal on Control and Optimization 25, 1557-1586.
    Kim, T.S. and E. Omberg, 1996. Dynamic Nonmyopic Portfolio Behavior. Review of Financial Studies 9, 141-161.
    Koo, H.K., 1998. Consumption and Portfolio Selection with Labor Income: a Continuous Time Approach. Mathematical Finance 8, 49-65.
    Lachance, M., O.S. Mitchell and K.A. Smetters, 2003. Guaranteeing Defined Contribution Pensions: The Option to Buy Back a Defined Benefit Promise. Journal of Risk and Insurance 70, 1-16.
    Lawrence, E.D. and L.N. Stephen, 1987. Performance Fees for Investment Management. Financial Analysts Journal 43, 14-20.
    Lien, C.H., S.L. Liao and C.F. Lee, 2005. Empirical Comparison of Interest Rate Models: The Case of Taiwan Commercial Paper Rate. Management Review 24, 29-53.
    Lipster, R.S. and A.N. Shiryayev, 1978. Statistics of Random Processes II: Applications. Springer-Verlag, New York.
    Lipster, R.S. and A.N. Shiryayev, 1978. Statistics of Random Processes I: General Theory. Springer-Verlag, New York.
    Madsen, J.B., 2002. The Share Market Boom and the Recent Disinflation in the OECD Countries: the Tax-effects, the Inflation-illusion, and the Risk-aversion Hypotheses Reconsidered. Quarterly Review of Economics and Finance 42, 115-141.
    Mark, P.K., 1987. Investment Fees: Some Problems and Some Solutions. Financial Analysts Journal 43, 21-26.
    Markowitz, H., 1959. Portfolio Selection: Efficient Diversification of Investment. Wiley, New York.
    Markus, R., and T.Z. William, 2004. Intertemporal Surplus Management. Journal of Economic Dynamics and Control 28, 975-990.
    McKenna, F.W., 1982. Pension Plan Cost Risk. Journal of Risk and Insurance 49, 193-217.
    Menoncin, F., 2002. Optimal Portfolio and Background Risk: An Exact and an Approximated Solution. Insurance: Mathematics and Economics 31, 249-265.
    Merton, R.C., 1969. Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case. Review of Economics and Statistics 51, 247-257.
    Merton, R.C., 1971. Optimum Consumption and Portfolio Rules in a Continuous-Time Model. Journal of Economic Theory 3, 373-413.
    Merton, R.C., 1992. Continuous Time Finance. Blackwell, Oxford.
    Modigliani, F. and R.A. Cohn, 1979. Inflation, Rational Valuation and the Market. Financial Analysts Journal 35, 24-44.
    Mossin, J., 1968. Optimal Multiperiod Portfolio Policies. Journal of Business 41, 215-229.
    O'Brien, T., 1986. A Stochastic-Dynamic Approach to Pension Funding. Insurance: Mathematics and Economics 5, 141-146.
    O'Brien, T., 1987. A Two-Parameter Family of Pension Contribution Functions and Stochastic Optimization. Insurance: Mathematics and Economics 6, 129-134.
    Omberg, E., 1999. Non-myopic Asset-Allocation with Stochastic Interest Rates. Working Paper, San Diego State University.
    Pliska, S.R., 1986. A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios. Mathematics of Operations Research 11, 371-382.
    Racinello, A.R., 1988. A Stochastic Simulation Procedure for Pension Scheme. Insurance: Mathematics and Economics 7, 153-161.
    Raghu, T.S., P.K. Sen, and H.R. Rao, 2003. Relative Performance of Incentive Mechanisms: Computational Modeling and Simulation of Delegated Investment Decisions. Management Science 49, 160-178.
    Ralfe, J., C. Speed and J. Palin, 2004. Pension and Capital Structure: Why Hold Equities in the Pension Fund? North American Actuarial Journal 8, 103-113.
    Richard, G.. and R. Andrew, 1987. Investment Fees: Who Wins? Who Loses? Financial Analysts Journal 43, 27-38.
    Ritter, J.R. and R.S. Warr, 2002. The Decline of Inflation and the Bull Market of 1982 to 1999. Journal of Financial and Quantitative Economics 37, 29-61.
    Rogers, L.C.G.., 2001. The Relaxed Investor and Parameter Uncertainty. Finance and Stochastics 5, 131-154.
    Roy, K. and T.Z. William, 2007. Incentives and Risk Taking in Hedge Funds. Journal of Banking and Finance 31, 3291-3310.
    Rutkowski, M., 1999. Self-Financing Trading Strategies for Sliding, Rolling-Horizon, and Consol Bonds. Mathematical Finance 9, 361-385.
    Shapiro, A.F., 1977. The Relevance of Expected Persistency Rates When Projecting Pension Costs. Journal of Risk and Insurance 44, 623-638.
    Shapiro, A.F., 1985. Contributions to the Evolution of Pension Cost Analysis. Journal of Risk and Insurance 52, 81-99.
    Sharpe, W.F., 1991. Capital Asset Prices with and without Negative Holdings. Journal of Finance 46, 489-509.
    Sorensen, C., 1999. Dynamic Asset Allocation and Fixed Income Management. Journal of Financial and Quantitative Analysis 34, 513-531.
    Vasicek, O.E., 1997. An Equilibrium Characterization of the Term Structure. Journal of Financial Economics 5, 177-188.
    Viceira L.M., 2001. Optimal Portfolio Choice for Long Horizon Investors with Non-tradable Labor Income. Journal of Finance 56, 433-470.
    Wachter, J.A., 2002. Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets. Journal of Financial and Quantitative Analysis 37, 63-91.
    Xia, Y.H., 2001. Learning about Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation. Journal of Finance 56, 205-246.
    Description: 博士
    國立政治大學
    風險管理與保險研究所
    94358504
    97
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0094358504
    Data Type: thesis
    Appears in Collections:[風險管理與保險學系 ] 學位論文

    Files in This Item:

    File Description SizeFormat
    850401.pdf95KbAdobe PDF672View/Open
    850402.pdf121KbAdobe PDF814View/Open
    850403.pdf167KbAdobe PDF772View/Open
    850404.pdf75KbAdobe PDF670View/Open
    850405.pdf96KbAdobe PDF695View/Open
    850406.pdf793KbAdobe PDF732View/Open
    850407.pdf1408KbAdobe PDF676View/Open
    850408.pdf354KbAdobe PDF755View/Open
    850409.pdf188KbAdobe PDF686View/Open
    850410.pdf263KbAdobe PDF737View/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
    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。
    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。
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback