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    Title: 保本型態投資組合之最適資產配置
    Optimal Portfolio Management With Downside Risk Control
    Authors: 劉柔妍
    Liu, Jou Yen
    Contributors: 張士傑
    鄭宗記

    劉柔妍
    Liu, Jou Yen
    Keywords: 保護下檔風險之最適投資策略
    CPPI
    TIPP
    委託契約
    Date: 2013
    Issue Date: 2014-07-21 15:39:24 (UTC+8)
    Abstract: 2008年金融海嘯、2011歐債危機等,皆對台灣經濟產生嚴重的損失。壽險業經營關乎保戶之未來,應更加重視壽險業經營穩健性,故本研究期望找尋適當的保本投資策略,期望增加壽險業的投資選擇,提供穩定且合理的獲利。
    引用Cai et al. (2013)之保護下檔風險之最適投資策略模型,將資產配置視為無風險性資產與購買一個歐式買權,此歐式買權可藉由市場可交易之標的複製,最低績效標準為執行價(Strike Price)、距離到期日天數為買權到期日(Expiry Date)。本研究亦(1)比較不同利率市場下,保護下檔風險之最適投資策略、CPPI與TIPP之投資績效與保本效果;與(2)不同下檔風險容忍度、(3)不同風險權益市場下,經理人之投資決策與投資績效。
    本研究發現(1)保護下檔風險之最適投資策略於高利率市場與一般利率市場下,彈性最高且整體獲利高、波動小;而TIPP因投資策略相當保守,於低利率市場下獲利及保本效果為三者最好。(2)當委託人改變契約,下檔風險容忍度降低時,經理人增加股票型基金部位,並拉長投資期間以提高績效。適當降低下檔風險容忍度,有助於使風險趨避經理人追逐風險。(3)面對環境快速變遷,探討不同風險權益市場對經理人績效之影響,發現於高風險權益資本市場下,面對績效壓力,將採用放空債券與增加股票部位並行的投資策略,造成財富波動大且績效降低。於低權益市場則是債券為主要標的,投資績效較為穩定。委託人可視不同狀況及早訂定委託契約,降低財富波動。
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    Description: 碩士
    國立政治大學
    風險管理與保險研究所
    101358029
    102
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0101358029
    Data Type: thesis
    Appears in Collections:[風險管理與保險學系] 學位論文

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