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題名 勞工退休基金運用策略之研究 : 債券投資工具之應用 作者 謝素琴 貢獻者 胡聯國
謝素琴日期 1991
1990上傳時間 2-May-2016 17:00:29 (UTC+8) 參考文獻 一、中文部份: 1 .丁玉山(六十六年)，「 退休成本之會計處理」，東吳大學會研所碩士論文。 2. 丁文拯(六十八年)，財務會計標準，台北新店。 3. 王正新(六十七年)，企業退休年金制度之研究，政治大學財研所碩士論文。 4. 李家泉(七十五年)，「 退休金方案規劃及其數理」，壽險季刊，第61 期，頁8-15。 5. 邱忠榮(七十五年)，「 退休金計畫的基本要素(續)」，壽險季刊，第54 期，頁41-61 。 6. 於懋玲(七十三年)，退休金費用決定因素之實證研究一以設立固定給付退休辦法之我國企業為研究，政治大學會研所碩士論文。 7. 柯木興(七十五年)，勞工退休金作業手冊，中國社會保險學會。 8. 許鶯珍(六十九年)，民營企業退休金管理之研究，政治大學會研所碩士論文。 9. 黃文政(七十五年)，企業退休計畫之財務管理兼論勞動基準法之退休金問題，台灣大學商研所碩士論文。 10.曾季國(七十五年)，退休金會計處理研究，政治大學會研究所碩士論文。 11.陳遠哲(七十四年)，「證券投資概論」，壽險季刊，第57期，頁21-26. 12.陳少杰/柯受恩(七十九年)，債券投資入門，金錢出版社。 13.郭明忠(七十五年)，「美國資本市場及投資管理技術」，壽險季刊，第60期，頁63-72. 14.陳得源，「我國債券市場之檢討與改進，中央銀行季刊，第12卷，第2期，頁35-51. 15.編者，「勞工退休基金投資股市」，經濟日報，民國七十九年七月十七日，第15版。 16.編者，「退休年與公債應納入規畫」，中國時報，民國八十年二月六日，第11版。 16.編者，「債券市場將被重新打造」，中國時報，民國八十年四月一日，第十版。 二、英文部份: 1.Ambachtsheer, Keith P. “Pension Fund Allocation: In Defense of a 60/40 Eguity/Debt Aaaet Mix”, Financial Analysts Journal , September-October, 1987, PP.14-24. 2.Ambachtsheer, Keith P. John L. Maginn, and Jay Vawter, “Determination of Portfolio Policies: Institutional Investors”, Reprinted in Managing Investment Portfolios-A Dynamic Process Maginn, John L. and Donald L. Tuttle, (Boston. New York, 1990). 3.Arnott, Robert D. "The Pension Sponsor`s View of Asset Allocation" , Financial Analysts journal, Sep-Oct 1985, PP. 17-23. 4.Bernstein, Leopold, Financial Statement Analysis: Fheory, Application, and Interpretation (Richard D IRWIN, INC. 1989), PP. 329-338. 5.Bierwag G. O. , George G. Kaufman, and Alden Toevs, Innovations in Bond Portfolio Management: Duration Analysis and Immunization, (JAI Press INC. 1983). 6.Bierwag G. O. , George G. Kaufman, and Alden Toevs, "Duration: Its Development and Use in Bond Portfolio Management" Financial Analysts Journal, July-August 1983, PP. 15-35. 7.Boguist, John A. , George A. Racette and Gary G. Schlarbaum, "Duration and Risk Assessement for Bands and Common Stocks" The Jouranal of Finance, Dec 1975, PP. 1360-1365. 8.Bostock, Paul, Paul Wooley and Martin Duffy, "Duration-Based Asset Al location" Financial Analysts Journal, Jan-Feb 1989, PP. 53-60. 9.Brinson, Cary p. ; L. Randolph Hood and Gilbert L. Beebower, "Determinants of Portfolio Perfermance " Financial Analysts Journal, July-Aug 1986. 10.Christensen, Peter E and Frank J. Fabozzi, "Bond Immunization: An Asset Liability Optimization Strategy "Reprinted in The Handbook of Fixed Income Securities, Fabozzi, Frank J. and Irving M. Pollack (Dow Jones-IRWIN, 1987). 11.Christensen, Peter E and Frank J. Fabozzi, "Dedicated Bond portfolio" Reprinted in "Fhe Handbook of Fixed Income Securities "Fabozzi, Frank J. and Irving M. Pollack (Dow Jones-IRWIN, 1987). 12 . Dunetz, Mark L. and James M. Mohoney , "Using Duration and Cnvexity in the Analysis of Callable Bonds " Financial Analysts Journal, May-June 1988 PP. 53-72. 13.Editor, "Pension Funds :Turning Back to Stocks", Business week, Dec-25, 1978, PP.118-145. 14.Editor, "The power of The Pension Funds", Business Week,1989, PP.154-158. 15. Fielitz , Bruce D. and Frederich L. Muller , "The Asset Allocation Decision", Financial Analysts Journal, July-August 1983, PP.44-50. 16.fischer, Black, Goldman and Sachs E. Co. "Should You Use Stocks to Hedge Your Pension Liability? " Financial Analysts Journal, Jan-Feb 1989, PP. 10-12 . 17.Fisher, Lawrence and Roman L. Well, "Coping With The Risk of Interest-Rate Fluctuations Returns to Bondholders From Naive and Optimal Strategies",Journal of Business, Oct 1971, PP.408-431. 18.Fong, H. Gifford, "Portfolio Construction:Fixed Income " , Reprint in Managing Investment Portfolios-A Dynamic Process,Maginn, John L. and Donald L. Tuttle, (Boston,New York,1990). 19.Hopewell, Michael H. and George G. Kaufman, "Bond Price Volatility and Term to Maturity: A Generalized Respecification", American Economic Review, Sepember 1973, PP. 749-753. 20.Jones, Ivwin E. and Mellon Bank N. A. "How Bond Immunization Can Reduce Pension Costs" ,Financial Executive, Aug 1982, PP. 14-22. 21.Kopprasch, Rbert W. "Understanding Duration and Volatility" , Reprinted in The Handbook of Fixed Income Securities, Fabozzi, Frank J. and Irving M. Pollack (Dow Jones-IRWIN, 1987) , 22.Leibowitz, Martin L. and Alfred Weinberger, "The Uses of Contingemt Immunization", The Journal of Portfolio Management., Fall 1981, PP. 51-55, 23.Leibowitz, Martin L. , Thomas E. Klaffky, Steven Mandel, and Alfred Weinberger, " Horizon Matching : A New Approach to Dedicated Portfolios ", The Journal of Portfolio Management, Fall 1984, PP. 93-96. 24.Leibowitz, Martin L. , "The Dedicated Bond Portfolio in Pension Funds-PartⅠ: Motivations and Basics" ,Financial Analysts journal, Jan-Feb 1986, PP. 68-75 25.Leibowitz, Martin L. , "The Dedicated Bond Portfolio in Pension Funds-Part Ⅱ: Immunization, Horizon Matching and Contingent Procedures" Financial Analysts Journal, March-April 1986, PP47-57. 26.Leibowitz, Martin L. , "Total Portfolio Duration: A New Perspective on Asset Allocation", Financial Analysts journal, Sep-Oct 1986, PP. 18-29. 27.Platt, Robert B and Gary D. Latainer, "Risk-Return Tradoffs of Contingent Insurance Strategies for Active Band Portfolios "Financial Analysts journal, May-June 1984,PP.34-39. 28.Sharp, Willian F. "Asset Allocation" , Reprinted in Managing Inrestment Portfolios -A Dynamic Process ,Maginn, John L. and Dnald L. Tuttle (Boston New York, 1990) . 29.Steffanci, Thomas T. "Bond Immunization In Practice,” in Bierwag, Kaufman and Toevs, eds. Innovations in Bond Portfolio Management, op cit., PP. 281-285. 30.Ward, lamen S. and Leonard H. Wissner, "Passive Pension Strategies :They`re not so passive any more " Financial Execuive, Feb, 1984, PP.42-44. 31 . WeiI, Roman L. " MacauIay’s Duration: An Apperciation, " Journal of Business, October 1973, PP. 589-592. 描述 碩士
國立政治大學
國際經營與貿易學系資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002004975 資料類型 thesis dc.contributor.advisor 胡聯國 zh_TW dc.contributor.author (Authors) 謝素琴 zh_TW dc.creator (作者) 謝素琴 zh_TW dc.date (日期) 1991 en_US dc.date (日期) 1990 en_US dc.date.accessioned 2-May-2016 17:00:29 (UTC+8) - dc.date.available 2-May-2016 17:00:29 (UTC+8) - dc.date.issued (上傳時間) 2-May-2016 17:00:29 (UTC+8) - dc.identifier (Other Identifiers) B2002004975 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/89583 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營與貿易學系 zh_TW dc.description.tableofcontents 圖次. . . . . . . . . . . . . . . . . . .Ⅲ 表次. . . . . . . . . . . . . . . . . . .Ⅴ 第一章 緒論. . . . . . . . . . . . . . . . . . .1 第一節 研究動機與目的. . . . . . . . . . . . . . . . . . .1 第二節 研究方法. . . . . . . . . . . . . . . . . . . 3 第三節 研究內容與架構. . . . . . . . . . . . . . . . . . . 3 第二章 退休計畫之設計. . . . . . . . . . . . . . . . . . . 6 第一節 退休計畫之擬訂. . . . . . . . . . . . . . . . . . ..6 第二節 退休金之財務處理. . . . . . . . . . . . . . . . . . .11 第三節 退休金成本之決定. . . . . . . . . . . . . . . . . . . 14 第四節 基金管理型態. . . . . . . . . . . . . . . . . . . 16 第三章 退休基金之投資管理. . . . . . . . . . . . . . . . . . . 20 第一節 基金投資組合之程序. . . . . . . . . . . . . . . . . . . . .21 第二節 基金投資管理之目標與限制. . . . . . . . . . . . . . . . . . .23 第三節 資產配置(asset allocation) 之方法. . . . . . . . . . . . . . . . . . . 27 第四節 退休基金配置概況. . . . . . . . . . . . . . . . . . . 37 第四章 退休基金在債券市場之投資策略. . . . . . . . . . . . . . . . . . . 47 第一節 到期日配合法(maturity matching) . . . . . . . . . . . . . . . . . . .48 第二節 現金配合法(cash matching) . . . . . . . . . . . . . . . . . . .54 第三節 安全避險法( immunization) . . . . . . . . . . . . . . . . . . ..54 第四節 安全避險法之改良策略. . . . . . . . . . . . . . . . . . .65 第五章 模擬投資. . . . . . . . . . . . . . . . . . . 73 第一節 債券之報酬率與存續期間. . . . . . . . . . . . . . . . . . .73 第二節 模擬投資之設計. . . . . . . . . . . . . . . . . . . 77 第三節 模擬投資之過程. . . . . . . . . . . . . . . . . . .79 第四節 模擬結果分析. . . . . . . . . . . . . . . . . . . 86 第六章 結論與建議. . . . . . . . . . . . . . . . . . .110 第一節 結論. . . . . . . . . . . . . . . . . . ..110 第二節 建議. . . . . . . . . . . . . . . . . . . . 112 參考文獻. . . . . . . . . . . . . . . . . . . 113 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002004975 en_US dc.title (題名) 勞工退休基金運用策略之研究 : 債券投資工具之應用 zh_TW dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 一、中文部份: 1 .丁玉山(六十六年)，「 退休成本之會計處理」，東吳大學會研所碩士論文。 2. 丁文拯(六十八年)，財務會計標準，台北新店。 3. 王正新(六十七年)，企業退休年金制度之研究，政治大學財研所碩士論文。 4. 李家泉(七十五年)，「 退休金方案規劃及其數理」，壽險季刊，第61 期，頁8-15。 5. 邱忠榮(七十五年)，「 退休金計畫的基本要素(續)」，壽險季刊，第54 期，頁41-61 。 6. 於懋玲(七十三年)，退休金費用決定因素之實證研究一以設立固定給付退休辦法之我國企業為研究，政治大學會研所碩士論文。 7. 柯木興(七十五年)，勞工退休金作業手冊，中國社會保險學會。 8. 許鶯珍(六十九年)，民營企業退休金管理之研究，政治大學會研所碩士論文。 9. 黃文政(七十五年)，企業退休計畫之財務管理兼論勞動基準法之退休金問題，台灣大學商研所碩士論文。 10.曾季國(七十五年)，退休金會計處理研究，政治大學會研究所碩士論文。 11.陳遠哲(七十四年)，「證券投資概論」，壽險季刊，第57期，頁21-26. 12.陳少杰/柯受恩(七十九年)，債券投資入門，金錢出版社。 13.郭明忠(七十五年)，「美國資本市場及投資管理技術」，壽險季刊，第60期，頁63-72. 14.陳得源，「我國債券市場之檢討與改進，中央銀行季刊，第12卷，第2期，頁35-51. 15.編者，「勞工退休基金投資股市」，經濟日報，民國七十九年七月十七日，第15版。 16.編者，「退休年與公債應納入規畫」，中國時報，民國八十年二月六日，第11版。 16.編者，「債券市場將被重新打造」，中國時報，民國八十年四月一日，第十版。 二、英文部份: 1.Ambachtsheer, Keith P. “Pension Fund Allocation: In Defense of a 60/40 Eguity/Debt Aaaet Mix”, Financial Analysts Journal , September-October, 1987, PP.14-24. 2.Ambachtsheer, Keith P. John L. Maginn, and Jay Vawter, “Determination of Portfolio Policies: Institutional Investors”, Reprinted in Managing Investment Portfolios-A Dynamic Process Maginn, John L. and Donald L. Tuttle, (Boston. New York, 1990). 3.Arnott, Robert D. "The Pension Sponsor`s View of Asset Allocation" , Financial Analysts journal, Sep-Oct 1985, PP. 17-23. 4.Bernstein, Leopold, Financial Statement Analysis: Fheory, Application, and Interpretation (Richard D IRWIN, INC. 1989), PP. 329-338. 5.Bierwag G. O. , George G. Kaufman, and Alden Toevs, Innovations in Bond Portfolio Management: Duration Analysis and Immunization, (JAI Press INC. 1983). 6.Bierwag G. O. , George G. Kaufman, and Alden Toevs, "Duration: Its Development and Use in Bond Portfolio Management" Financial Analysts Journal, July-August 1983, PP. 15-35. 7.Boguist, John A. , George A. Racette and Gary G. Schlarbaum, "Duration and Risk Assessement for Bands and Common Stocks" The Jouranal of Finance, Dec 1975, PP. 1360-1365. 8.Bostock, Paul, Paul Wooley and Martin Duffy, "Duration-Based Asset Al location" Financial Analysts Journal, Jan-Feb 1989, PP. 53-60. 9.Brinson, Cary p. ; L. Randolph Hood and Gilbert L. Beebower, "Determinants of Portfolio Perfermance " Financial Analysts Journal, July-Aug 1986. 10.Christensen, Peter E and Frank J. Fabozzi, "Bond Immunization: An Asset Liability Optimization Strategy "Reprinted in The Handbook of Fixed Income Securities, Fabozzi, Frank J. and Irving M. Pollack (Dow Jones-IRWIN, 1987). 11.Christensen, Peter E and Frank J. Fabozzi, "Dedicated Bond portfolio" Reprinted in "Fhe Handbook of Fixed Income Securities "Fabozzi, Frank J. and Irving M. Pollack (Dow Jones-IRWIN, 1987). 12 . Dunetz, Mark L. and James M. Mohoney , "Using Duration and Cnvexity in the Analysis of Callable Bonds " Financial Analysts Journal, May-June 1988 PP. 53-72. 13.Editor, "Pension Funds :Turning Back to Stocks", Business week, Dec-25, 1978, PP.118-145. 14.Editor, "The power of The Pension Funds", Business Week,1989, PP.154-158. 15. Fielitz , Bruce D. and Frederich L. Muller , "The Asset Allocation Decision", Financial Analysts Journal, July-August 1983, PP.44-50. 16.fischer, Black, Goldman and Sachs E. Co. "Should You Use Stocks to Hedge Your Pension Liability? " Financial Analysts Journal, Jan-Feb 1989, PP. 10-12 . 17.Fisher, Lawrence and Roman L. Well, "Coping With The Risk of Interest-Rate Fluctuations Returns to Bondholders From Naive and Optimal Strategies",Journal of Business, Oct 1971, PP.408-431. 18.Fong, H. Gifford, "Portfolio Construction:Fixed Income " , Reprint in Managing Investment Portfolios-A Dynamic Process,Maginn, John L. and Donald L. Tuttle, (Boston,New York,1990). 19.Hopewell, Michael H. and George G. Kaufman, "Bond Price Volatility and Term to Maturity: A Generalized Respecification", American Economic Review, Sepember 1973, PP. 749-753. 20.Jones, Ivwin E. and Mellon Bank N. A. "How Bond Immunization Can Reduce Pension Costs" ,Financial Executive, Aug 1982, PP. 14-22. 21.Kopprasch, Rbert W. "Understanding Duration and Volatility" , Reprinted in The Handbook of Fixed Income Securities, Fabozzi, Frank J. and Irving M. Pollack (Dow Jones-IRWIN, 1987) , 22.Leibowitz, Martin L. and Alfred Weinberger, "The Uses of Contingemt Immunization", The Journal of Portfolio Management., Fall 1981, PP. 51-55, 23.Leibowitz, Martin L. , Thomas E. Klaffky, Steven Mandel, and Alfred Weinberger, " Horizon Matching : A New Approach to Dedicated Portfolios ", The Journal of Portfolio Management, Fall 1984, PP. 93-96. 24.Leibowitz, Martin L. , "The Dedicated Bond Portfolio in Pension Funds-PartⅠ: Motivations and Basics" ,Financial Analysts journal, Jan-Feb 1986, PP. 68-75 25.Leibowitz, Martin L. , "The Dedicated Bond Portfolio in Pension Funds-Part Ⅱ: Immunization, Horizon Matching and Contingent Procedures" Financial Analysts Journal, March-April 1986, PP47-57. 26.Leibowitz, Martin L. , "Total Portfolio Duration: A New Perspective on Asset Allocation", Financial Analysts journal, Sep-Oct 1986, PP. 18-29. 27.Platt, Robert B and Gary D. Latainer, "Risk-Return Tradoffs of Contingent Insurance Strategies for Active Band Portfolios "Financial Analysts journal, May-June 1984,PP.34-39. 28.Sharp, Willian F. "Asset Allocation" , Reprinted in Managing Inrestment Portfolios -A Dynamic Process ,Maginn, John L. and Dnald L. Tuttle (Boston New York, 1990) . 29.Steffanci, Thomas T. "Bond Immunization In Practice,” in Bierwag, Kaufman and Toevs, eds. Innovations in Bond Portfolio Management, op cit., PP. 281-285. 30.Ward, lamen S. and Leonard H. Wissner, "Passive Pension Strategies :They`re not so passive any more " Financial Execuive, Feb, 1984, PP.42-44. 31 . WeiI, Roman L. " MacauIay’s Duration: An Apperciation, " Journal of Business, October 1973, PP. 589-592. zh_TW
