| dc.contributor.advisor | 張士傑 | zh_TW |
| dc.contributor.author (作者) | 葉政瑋 | zh_TW |
| dc.creator (作者) | 葉政瑋 | zh_TW |
| dc.date (日期) | 2005 | 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 (其他 識別碼) | G0093358023 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/34128 | - |
| 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) | 93358023 | zh_TW |
| dc.description (描述) | 94 | zh_TW |
| dc.description.abstract (摘要) | 本研究基於退休基金經理人之觀點探討確定提撥退休基金計畫之跨期最適投資策略，分析退休計畫中成員薪資所得不確定以及跨國投資風險對於基金投資決策的影響。首先，由於匯率之波動將顯著增加跨國投資收益之風險，本研究引用Xia (2001)考量學習效果預測跨國匯率過程，修正匯率之動態隨機過程；搭配跨國費雪關係式進一步假設國內為名目利率差與匯率的關係式，使得投資策略得以納入匯率的學習效果。其次，薪資所得波動對於提撥有所影響，因此本研究推廣Boulier et al. (2001)對於成員勞動薪資之假設，假設通貨膨脹率及實質利率將影響成員服職期間之薪資所得，基金經理人將策略地調整基金投資標的物之部位以規避成員薪資風險。最後，本研究呈現完整之跨期投資策略及詳細之數值計算結果，清楚說明退休基金經理人於追求最適投資組合及避險考量之關係。研究結果顯示，基金經理人可以透過資本市場消弭薪資所得的不確定性，而匯率的學習效果將影響在國外現金部位的變化。 | zh_TW |
| dc.description.tableofcontents | 目錄圖目錄 3表目錄 31. 緒論 41.1 研究動機 41.2 文獻回顧 51.2.1 學習效果 51.2.2 薪資所得 51.2.3 資產配置 52. 經濟體結構 73. 學習過程 104. 平賭方法以及最適投資策略 124.1最適過程 124.2平賭方法 134.2.1 複製退休金年度提撥 144.2.2 最適避險 155. 數值模擬 176. 結論 25附錄A 債券動態 28附錄B 學習效果 29附錄C 複製提撥 33附錄D 最適策略 35附錄E 符號表 37圖目錄圖表 1 風險趨避係數為0時，最適投資策略 18圖表 2 風險趨避係數為0.2時最適投資策略 19圖表 3 風險趨避係數為-0.2時最適投資策略 19圖表 4 20圖表 5 21圖表 6 在風險趨避下數為0.2時，(32)第二部分與時間的關係 22圖表 7 在風險趨避係數為-0.2時，(32)第二部分與時間的關係 22表目錄表格 1 數值模擬的各項變數數值、符號與意義 17表格 2 變數與資產配置 23 | 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/#G0093358023 | en_US |
| dc.subject (關鍵詞) | 確定提撥 | zh_TW |
| dc.subject (關鍵詞) | 薪資所得 | zh_TW |
| dc.subject (關鍵詞) | 跨國投資 | zh_TW |
| dc.subject (關鍵詞) | 學習效果 | zh_TW |
| dc.subject (關鍵詞) | 費雪關係式 | zh_TW |
| dc.title (題名) | 學習效果下確定提撥制退休基金之最適資產配置 | zh_TW |
| dc.type (資料類型) | thesis | en |
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