Please use this identifier to cite or link to this item: https://ah.nccu.edu.tw/handle/140.119/31267


Title: 以模擬最佳化評量銀行的資產配置
Authors: 鄭嘉峰
Contributors: 蔡政憲
鄭嘉峰
Keywords: 最適資產配置
動態財務規劃
模擬最佳化
演化策略演算法
Asset Allocation
Dynamic Financial Analysis
Simulation Optimization
Evolution Strategy
Date: 2006
Issue Date: 2009-09-14 09:40:21 (UTC+8)
Abstract: 過去的文獻中,資產配置的方法不外乎效率前緣、動態資產配置等方式,但是,單獨針對銀行探討的文章並不多見,所以本文的貢獻在於單獨針對銀行的資產配置行為進行研究,希望能利用『演化策略演算法』,進行『模擬最佳化』來解決銀行資產配置的問題。基本上這個方法是由兩個動作結合而成,先是模擬,再來尋求最佳解。所以,資產面我們選擇了現金、債券、股票、不動產四項標的,而負債面則模擬了定存、活存與借入款這三項業務,然後透過重複執行模型的方式來求出最適解。並與單期資產配置方法下的結果作一比較,發現運用演化策略演算法有較佳的結果,此外,在不同的亂數下,仍具有良好的穩健性,可作為一般銀行經理人參考之用。
We focus on the bank’s asset allocation problem in this thesis. We use simulation optimization to solve the problem by evolution strategy, which is relatively new in the financial field. Simulation optimization consists of two steps: simulate numerous situations and search for the optimal asset portfolios. In the simulation, we set up four assets, including cash, bond, stock, and real estate and three business lines, including demand deposits, time deposits, and borrowings. Then we search for the optimal solution by running the ES algorithm. The results show that simulation optimization generates better results than one-period asset allocation. Furthermore, the evolution strategy method generates similar results using different random numbers.
Reference: 中文部分:
林家樂,以模擬最佳化研究產險公司的資產配置,國立政治大學風險管理與保險研究所碩士論文,2006年1月。
林豐澤,演化式計算上篇:演化式演算法的三種理論模式,智慧科技與應用統計學報,第3卷,第1期,2005年6月,29-56。
涂兆信,利率波動對本國銀行獲利能力之影響,朝陽科技大學財務金融系碩士論文,2002年6月。
陳孟成,求解有限制條件的多目標最佳化問題的演化策略法,國立中興大學機械工程研究所碩士論文,2004年12月。
陸浴沂,自我演化的複雜適應性模擬系統的模型設計,國立東華大學電機工程研究所碩士論文,2003年7月。
英文部分:
書籍
Holland, J.H., 1992, Adaptation in Natural and Artificial Systems: An Introductory Analysis with Applications to Biology, Control, and Artificial Intelligence, Cambridge, MASS: MIT Press.
Kalyanmoy, D., 2001, Multi-Objective Optimization Using Evolutionary Algorithms, Chichester, U.K.: John Wiley & Sons.
期刊
Anderson, L.C. and A.E. Burger, 1968, Asset Management and Commercial Bank Portfolio Behavior: Theory and Practice, The Journal of Finance, 24, 2, 207-222.
Chen, A.H. and S.C. Mazumdar, 1992, An Instantaneous Control Model of Bank Reserves and Federal Funds Management, Journal of Banking and Finance, 16, 1073-1095.
Cohen, K.J. and F.S. Hammer, 1967, Linear Programming and Optimal Bank Asset Management Decisions, The Journal of Finance, 22, 2, 147-165.
Crane, D.B., 1971, A Stochastic Programming Model for Commercial Bank Bond Portfolio Management, The Journal of Financial and Quantitative Analysis, 6, 3, 955-976.
Walker, D.A., 1972 Dec., A Recursive Programming Approach to Bank Management, The Journal of Financial and Quantitative Analysis, 7, 5, 2055-2075.
Walker, D.A., 1997, A Behavior Model of Bank Asset Management, Journal of Economic Behavior & Organization, 32, 413-431.
Wolf, C.R., 1969, A Model for Selecting Commercial Bank Government Security Portfolios, The Review of Economics and Statistics, 51 , 1, 40-52.
Description: 碩士
國立政治大學
風險管理與保險研究所
93358011
95
Source URI: http://thesis.lib.nccu.edu.tw/record/#G0093358011
Data Type: thesis
Appears in Collections:[風險管理與保險學系 ] 學位論文

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