| dc.contributor.advisor | 黃泓智<br>謝明華 | zh_TW |
| dc.contributor.advisor | <br> | en_US |
| dc.contributor.author (Authors) | 劉家銓 | zh_TW |
| dc.creator (作者) | 劉家銓 | 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 (Other Identifiers) | G0923580231 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/34171 | - |
| 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) | 92358023 | zh_TW |
| dc.description (描述) | 94 | zh_TW |
| dc.description.abstract (摘要) | 本文主要是針對保險業及退休基金的資產負債管理議題為研究重心，延續Huang (2004)的研究，其研究是以理論求解的方式求出多期最適資產配置的唯一解，而其研究也衍生出兩個議題：首先是文中允許資產買賣空;再者其模型僅解決單期挹注資金的問題，而不考慮多期挹注資金。但這對於實際市場操作上會有一些的問題。因此本文延續了其研究，希望解決這兩個議題，讓模型更能解出一般化的資產負債管理問題。 本文所選擇的投資的標的是以一般退休基金與保險業所採用，分別是短債(short-term bonds)、永續債卷(consols)、指數連結型債券(index-linked gilts(ILG))、股票(equity)為四種投資標的，以蒙地卡羅模型模擬出4000組Wilkie 投資模型(1995)下的四種標的年報酬率以及負債年成長率，利用這些預期的模擬值找出最適的投資比例以及應該挹注的金額。而本文主要將問題化為決策變數的二次函數，並以一般化最小平方法(generalized least square,GLS)來求出決策變數，而用此方法最大的優點在於一般化最小平方法具有唯一解，且在利用軟體求解的速度相當快，因此是非常有效率的。本文探討的問題可以分成兩個部分。我們首先討論「單期挹注資金」的問題，只考慮在期初挹注資金。接著我們考慮「多期挹注資金」的問題，是在計畫期間內能將資金分成多期投入。兩者都能將目標函數化為最小平方的形式，因此本文除了找出合理的資產配置以及解決多期挹注資金的問題之外，也將重點著重於找一個能快速且精準的方法來解決資產配置的問題。 | zh_TW |
| dc.description.abstract (摘要) | This paper deals with the insurance and pension asset liability management issue. Huang (2004) derives a theoretical close solution of multi-period asset allocation. However, there are two further problems in his paper. First, short selling is allowable. Second, multi-period investing is not acceptable. These two restrictions sometimes are big problems in practice. This paper extends his paper and releases these two restrictions. In other words, we intend to find a solution of multi-period asset allocation so that we can invest money and change proportion of investment in each period without problems of short selling.In this paper, we use the standard asset classes used by pension or insurance funds such as short-term bonds, consols, index-linked gilts and equities. We generate thousand times of Monte Caro simulations of Wilkie investment model (1995) to predict future asset returns. Furthermore, in order to improve time-efficiency and accuracy, we derive a quadratic objective function and obtain a unique solution using sequential quadratic programming. | en_US |
| dc.description.tableofcontents | 第一章 緒論第一節 研究動機及目的 1第二節 研究架構 3第二章 文獻回顧第一節 傳統模型探討 4第二節 情境分析與動態規劃 6第三節 投資模型的介紹 8第三章 資產負債模型的建構第一節 負債模型 10第二節 資產模型 11第三節 目標函數 13第四章 單期挹注資金模型第一節 單期挹注資金模型建構 16第二節 參數設定與資料來源 17第三節 數值結果與分析 19第五章 多期挹注資金模型第一節 多期挹注資金模型建構 26第二節 多期模型每期挹注相同資金 28第三節 多期模型每期挹注資金以比例成長 34第六章 結論與建議 41附錄一 參考文獻 43附錄二 單期挹注資金各型態下之最適投資比例 45附錄三 多期模型每期挹注相同資金之最適資產配置 49附錄四 多期模型每期挹注資金以比例成長之最適資產配置 51圖目錄圖4-1 單期挹注資金相關時點 16圖4-2 單期挹注資金型態一之最適投資策略 20圖4-3 單期挹注資金型態二之最適投資策略 21圖4-4 單期挹注資金型態三之最適投資策略 22圖4-5 單期挹注資金型態四之最適投資策略 22圖4-6 以 為模型其最佳化的結果 25圖5-1 多期挹注資金相關時點 27圖5-2 Type 4 無限制條件下 值與追蹤誤差的關係圖 32表目錄表4-1 趨近總資產與實際總資產之誤差 23表4-2 單期模型下各型態之追蹤誤差 24表4-3 單期模型下各型態之執行時間 24表5-1 多期挹注相同資金模型各型態之 值 32表5-2 多期挹注相同資金模型各型態之A(0) 33表5-3 多期挹注相同資金模型各型態之追蹤誤差 33表5-4 多期挹注相同資金模型各型態之執行時間 34表5-5 挹注資金以固定比例1.02成長之 值 37表5-6 挹注資金以隨機模擬的成長率成長之 值 37表5-7 固定比例1.02成長各型態下A(0) 38表5-8 以模擬的成長率成長各型態下A(0) 39表5-9 以固定比例1.02成長各型態之追蹤誤差 39表5-10 以隨機模擬的成長率成長各型態之追蹤誤差 40表5-11 以固定比例1.02成長各型態之執行時間 40表5-12 以隨機模擬的成長率成長各型態之執行時間 40 | 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/#G0923580231 | en_US |
| dc.subject (關鍵詞) | 資產負債管理 | zh_TW |
| dc.subject (關鍵詞) | 一般化最小平方法 | zh_TW |
| dc.subject (關鍵詞) | 多期最適投資 | zh_TW |
| dc.subject (關鍵詞) | Asset liability matching | en_US |
| dc.subject (關鍵詞) | generalized least square (GLS) | en_US |
| dc.subject (關鍵詞) | multi-period approach | en_US |
| dc.title (題名) | 多期最適資產配置：一般化最小平方法之應用 | zh_TW |
| dc.type (資料類型) | thesis | en |
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