| dc.contributor.advisor | 黃泓智 | zh_TW |
| dc.contributor.author (Authors) | 王曉雲 | zh_TW |
| dc.creator (作者) | 王曉雲 | zh_TW |
| dc.date (日期) | 2006 | en_US |
| dc.date.accessioned | 2009-09-18 | - |
| dc.date.available | 2009-09-18 | - |
| dc.date.issued (上傳時間) | 2009-09-18 | - |
| dc.identifier (Other Identifiers) | G0093358009 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/34125 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 風險管理與保險研究所 | zh_TW |
| dc.description (描述) | 93358009 | zh_TW |
| dc.description (描述) | 95 | zh_TW |
| dc.description.abstract (摘要) | 勞工退休金條例的實施喚醒國人對退休後生活的重視，開始著重退休財務規劃。確定提撥制下，提撥期間退休準備金之運用深深影響退休時之帳戶金額，對員工影響甚鉅，故資金運用乃是由員工自行決定，投資風險由員工承擔，而投資報酬率對退休所得替代率影響甚鉅，提升報酬率能讓員工退休時有足夠的退休金，當考量退休金能有抗通貨膨脹風險時，更需要較高的報酬率來避免通貨膨脹風險。本研究採用隨機投資模型模擬股票、債券及兩年期定存報酬率，運用不同投資策略，衡量各種可能投資組合之投資績效與風險，並進一步設計各投資策略之生命週期投資模式，以期分析多期投資策略是否有較大之報酬率、較小之風險。本研究建立最適投資策略之目標函數，供投資者選擇適用之目標函數，在設定控制變數下，尋找最適資產配置。在不考慮生命週期策略時，CM投資策略最為有效率，且單位風險報酬最高，CPPI則無論投資組合如何配置，都具有高風險高報酬之特性。比較生命週期時，35年期投資期間，TIPP生命週期投資策略較TIPP為佳，而BH生命週期在35年與20年投資期間有較BH有效率之現象。當高風險投資標的變異大時，不宜採用高風險之投資組合，會造成高風險低報酬之情形。另投資者可以根據本研究之最適投資策略設定，選擇最符合自身風險之最佳資產配置策略。 | zh_TW |
| dc.description.tableofcontents | 第一章 緒論 11.1 研究動機與目的 11.2 研究架構 10第二章 投資模型、投資策略模型與衡量指標 112.1 投資模型 112.2 投資策略模型 122.3 投資衡量指標 22第三章 模擬結果 263.1 投資模型之資產報酬 263.2 投資策略分析 293.3 與生命週期投資策略比較 383.4 最適投資組合 49第四章 敏感度分析 564.1 投資期間敏感度分析 564.2 投資模型敏感度分析 59第五章 結論與建議 63參考文獻 65附錄一 生命表 67附錄二 CPPI投資期間股票投資比例 69 | zh_TW |
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| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0093358009 | en_US |
| dc.subject (關鍵詞) | 確定提撥制 | zh_TW |
| dc.subject (關鍵詞) | 退休年齡風險 | zh_TW |
| dc.subject (關鍵詞) | 最適投資組合 | zh_TW |
| dc.title (題名) | 確定提撥制下之投資策略模擬分析 | zh_TW |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | 1. Brinson, G.P., and Singer, B.D., and Beebower, G.L., (1991),”Determinants of portfolio Performance II：An Update”Financial Analyst Journal,Vol. 47,Iss. 3,p40-48. | zh_TW |
| dc.relation.reference (參考文獻) | 2. Brennan, M.J., and Schwartz, E.S., and Lagnado, R.,(1997),”Strategic asset allocation.”Journal of Economic Dynamics and Control, 21,p1377-1403. | zh_TW |
| dc.relation.reference (參考文獻) | 3. David Blake,and Andrew J.G. Carins,and Kevin Dowd, (2001),”Pensionmetrics：stochastic pension plan design and value-at-risk during the accumulation phase.”Insurance：Mathematics and Economics,Vol29,p187-215. | zh_TW |
| dc.relation.reference (參考文獻) | 4. Thomson, R.J.,(1998),”The use of utility functions for investment channel choice in defined contribution retirement funds.”In：Trans,16th Conf. Int. Assoc. Cons. Act. | zh_TW |
| dc.relation.reference (參考文獻) | 5. Vigna, E.,and Haberman, S.(2001),”Optimal Investment Strategy for defined contribution pension schemes.”Insurance mathematics and Economics,28,p233-262. | zh_TW |
| dc.relation.reference (參考文獻) | 6. Plaxco, L.M.,and Arnott, R.D.,(2002),”Rebalancing a Global Policy Benchmark.”Journal of Portfolio Management,Vol.28 Iss.2,p9-22. | zh_TW |
| dc.relation.reference (參考文獻) | 7. Perold, A.F. and W.F. Sharpe(1988),”Dynamic Strategies for Asset Allocation.”, Financial Analysts Journal,16-27. | zh_TW |
| dc.relation.reference (參考文獻) | 8. Andrea Consiglio,and Flavio Cocco, and Stavros A.Zenios,(2002),”Scenario optimization asset and liability modeling for individual investors.”working paper 02-07. | zh_TW |
| dc.relation.reference (參考文獻) | 9. Paolo Battocchio,and Francesco Menoncin,(2004),”Optimal pension management in a stochastic framework.”,Mathematics and Economics,p79-95. | zh_TW |
| dc.relation.reference (參考文獻) | 10.Markowitz, Harry M.,(1952),”Portfolio Selection.”Journalof Finance,March,p77-91. | zh_TW |
| dc.relation.reference (參考文獻) | 11.Sharpe, W.F.,(1966),”Mutual fund performance.”Journal of Business,39,p119-138. | zh_TW |
| dc.relation.reference (參考文獻) | 12.Sharpe William, Fall 1944,”The Sharpe Ratio.”,The Jurnal of Portfolio Management,Vol. 21,Iss. 1,p49-58. | zh_TW |
