Please use this identifier to cite or link to this item: https://ah.nccu.edu.tw/handle/140.119/85409


Title: 不同評估績效期間之退休基金最適策略
Optimal Strategy of Pension Fund Management Incorporating Distinct Projected Time Horizons
Authors: 田嘉蓉
Tien, Chia-Jung
Contributors: 張士傑
田嘉蓉
Tien, Chia-Jung
Keywords: 最適提撥
資產配置
隨機控制
評估測度
asset liability management
asset allocation
stochastic control
performance measure
optimal contribution
Date: 2001
Issue Date: 2016-04-18 16:28:25 (UTC+8)
Abstract: 不同評估績效的長短顯著地影響基金的經營策略,相較於強調穩健經營的退休基金而言,此因素是否亦影響退休基金的運作,本研究嘗試應用隨機控制理論,將投資績效的時間因素納入決策考量,以隨機微分方程式描述退休基金資產和應計負債的動態隨機行為,以多期基金規劃的觀點,探討時間因素與最適策略之關連性。本研究應用Brennan、Schwartz與Lagnado(1997)的結果至負債導向的退休基金管理,建構多期資產負債管理模型,退休基金持有資產將分類為風險性的股票投資組合、長期債券和短期票券,並考量投資標的短期利率與長期利率之隨機性質,將基金提撥與資產配置視為可調節因子,給定風險評估測度,於不設定投資限制下計算各期最適投資比例及基金提撥;本研究並以私人退休金個案進行模擬分析,結果顯示此基金未來10年之最適提撥率介於4.2﹪與5.1﹪,就不同評估期限而言,5年評估期之提撥率於初期高於10年評估期,基金比率η=0.75之提撥率低於η=1;5年評估期之基金交易行為較10年期明顯劇烈,基金比率較低時,其交易變化程度較小,不同評估年限與基金比率將同時影響退休基金之最適提撥與投資策略。
Distinct time horizons in measuring investment perfomance significantly influence the financial planning for the money managers. In this study, we explore this issue concerning the pension fund management that has focused on the asset and liability management to meet its future obligations. A stochastic control model is formulated in a continuous-time framework to obtain the closed form solution for optimal strategy. The time variation in expected returns introduced in Brennan, Schwartz and Lagnado(1997)is adopted in obtaining the optimal strategy using plausible future plan’s normal costs and accrued liabilities under distinct time horizons. Based on the proposed performance measurement, the optimal funding schedule and portfolio selections are determined dynamically without trading restrictions.
Reference: 一、 中文部分
1. 白郁婷,退休基金運作意見調查—基金專業經理人部分,退休基金季刊,第二卷第一期,民90年。
2. 林丙輝,投資組合保險,華泰出版社,民84年初版。
3. 林妙姍,確定提撥退休金計劃的應用與相關精算之研究,國立政治大學風險管理與保險研究所碩士論文,民87年。
4. 張士傑與陳絳珠,企業退休基金之多期最適提撥與資產配置,管理評論,民90年七月。
5.張士傑與鄭欣怡,公務人員退休撫卹基金之精算評價與長期財務檢視,退休基金季刊,第一卷第一期,民89年。
6. 陳炤良,俞明德,張傳章與張森林,正常提撥成本之估計-針對薪資相關,雇主提撥之確定給付退休金計劃,管理學報,第17卷第1期,民89年。
7. 陳登源,退撫基金投資哲學與運用概況,公務人員退休撫卹基金監理委員會編印,民87年。
8. 陳登源,退休基金制度設計與委託經營及共同基金市場關係之探討,退休基金季刊,第一卷第一期,民89年。
9. 陳絳珠,連續時間模型下退休基金最適策略之研究,國立政治大學風險管理與保險研究所碩士論文,民89年。
二、 英文部分
1. Bellman, R., (1957). Dynamic Programming, Princeton, N.J.:Princeton University Press.
2. Blake, D., (1998), “Pension schemes as options on pension fund assets: implications for pension fund management.” Insurance: Mathematics and Economics 23, 263-286.
3. Boyle, P. and H. Yang, (1997).”Asset allocation with time variation in expected returns.” Insurance:Mathematics and Economics 21, 201-218.
4. Brennan, M.J., E.S. Schwartz and R. Lagnado, (1997). ”Strategic asset allocation.” Journal of Economics, Dynamics and Control 21(8-9), 1377-1403.
5. Brennan, M.J., Schwartz, E.S., (1982). “An equilibrium model of bond pricing and a test of market efficiency.” Journal of Financial and Quantitative Analysis 17, 301-329.
6. Brennan, M.J., Schwartz, E.S., (1998). ”The use of Treasury bill futures in strategic asset allocation programs.” Worldwide Asset And Liability Modeling, 205-230.
7. Cairns, A. J. and Parker, G. (1997), “Stochastic pension fund modelling.”Insurance: Mathematics and Economics 21, pp.43-79.
8. Cairns, A.J.G., (2000), “Some notes on the dynamics and optimal control of stochastic pension fund models in continuous time.” ASTIN Bulletin 30, No1, 19-55.
9. Chang, S.C., (1999), “Optimal pension funding through dynamic simulations: the case of Taiwan public employees retirement system.” Insurance: Mathematics and Economics 24, 187-199.
10. Chang, S.C., (2000), “Realistic pension funding:a stochastic approach.”Journal of Actuarial Practice 8. 5-42.
11. Chang, S.C. and Chen C.C., (2000), “Applications of risk stochastic control to pension fund management.” Proceedings of the 4th Annual Conference of Asia-Pacific Risk and Insurance Association, Australia Perth.
12. Donald, (1988), Portfolio insurance: A guide to dynamic hedging. John Wiley & Sons ,Inc.
13. Daykin, C. D., Pentikainen, T. and Pesonen, M., (1994), Practical Risk Theory for Actuaries, Monographs on Statistics and Applied Probability 53, London, U.K.: Chapman and Hall.
14. Dufresne, D. (1988), “Moments of pension contributions and fund levels when rates of return are random.” Journal of the Institute of Actuaries 115, pp.535-544.
15. Dufresne, D. (1989). “Stability of pension systems when rates of return are random.” Insurance:Mathematics and Economics 8, pp.71-76.
16. Duffie, D. and R. Kan,(1996).”A yield-factor model of interest rates.” Mathematical Finance 6. 379-406.
17. Fama, E.F., French, K.R., (1988). “Dividend yields and expected stock returns.” Journal of Financial Economics 22, 3-26.
18. Haberman, S. (1993), “Pension funding with time delays and autoregressive rates of investment return.” Insurance: Mathematics and Economics 13, pp. 45-56.
19. 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, pp.219-240.
20. Haberman, S. (1997), “Stochastic investment returns and contribution rate risk in a defined benefit pension scheme.” Insurance: Mathematic and Economics 19, pp.127-139.
21. Haberman, S. and Patrick, L. Y. (1997), “Moving average rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme,” Insurance: Mathematics and Economics 20,pp.115-135.
22. Haberman, S. and Sung, J. H. (1994), “Dynamic approaches to pension funding.” Insurance: Mathematics and Economics 15, 151-162.
23. Keim, D.B., and Stambaugh, R.F., (1986). “Predicting returns in the stock and bond markets.” Journal of Financial Economics, 17, 357-390.
24. Lintner, J., (1975). “Inflation and security returns.” Journal of Finance 30, 259-280.
25. Merton, R.C., (1971). “Optimum consumption and portfolio rules in a continuous time model.” Journal of Economic Theory 3, 373-413.
26. Merton, R.C., (1990). Continuous-Time Finance, Blackwell, Cambridge.
27. Mossin, J., (1968). “Optimal multi-period portfolio policies.” Journal of Finance 41, 215-229.
28. Mulvey, M. John and William T. Ziemba, (1998). “Asset and Liability Management Systems for Long-Term Investors: Discussion of the Issues.”Worldwide Asset and Liability Modeling, Cambridge.
29. O’Brien, T.V. (1986). “A stochastic-dynamic approach to pension funding.” Insurance:Mathematics and Economics 5, 141-146.
30. O’Brien, T.V. (1987). “A two-parameter family of pension contribution functions and stochastic optimization.” Insurance:Mathematics and Economics 6, 129-134.
31. Samuelson, P., (1969), “Lifetime portfolio selection by dynamic stochastic programming.” Review of Economics and Statistics, 239-246.
32. Sorensen, C., (1999) “Dynamic asset allocation and fixed income management.” Journal of financial and quantitative analysis 34, No.4, 513-531.
33. Sherris, M., (1995). “The valuation of option features in retirement benefits.” Journal of Risk and Insurance 62, 509-534.
34. Shimko, D.C., (1992). “The valuation of multiple claim insurance contracts.” Journal of Financial and Quantitative Analysis 27, 229-246.
Description: 碩士
國立政治大學
風險管理與保險研究所
88358018
Source URI: http://thesis.lib.nccu.edu.tw/record/#A2002001460
Data Type: thesis
Appears in Collections:[風險管理與保險學系] 學位論文

Files in This Item:

There are no files associated with this item.



All items in 學術集成 are protected by copyright, with all rights reserved.


社群 sharing