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題名 | 確定提撥制下之最適投資決策:隨機最佳化之模型建構 |
作者 | 林士儼 |
貢獻者 | 黃泓智 林士儼 |
關鍵詞 | 確定提撥 基因演算法 |
日期 | 2005 |
上傳時間 | 2009-09-18 |
摘要 | 現行退休金制度已由確定給付制轉換為確定提撥制。投資風險從雇主的身上移往至員工身上,員工退休基金的金額也不確定。因此為了降低投資風險本研究採用預定的所得替代率作為目標給付,並藉由模擬最佳化的方式探討在不同模型假設下之最適資產配置。 本文中最佳化的方式是使用基因演算法,以避免以往演算法最佳化過程中掉入非最佳解的窘境。我們得到以下結論:(一) 靜態資產配置隨投資組合不同報酬率以及變異有很大的差異。即使在相同投資組合下,Regular Rebalance 與 Buy & Hold導致不一樣的結果。(二)動態投資組合較靜態投資組合能獲得高報酬與低風險投資績效。(三) 不同風險偏好投資人可以尋找其最佳化之動態資產配置。 |
參考文獻 | 1. Andrea Consiglio, and Flavio Cocco, and Stavros A. Zenios, (2005),〝Scenario optimization asset and liability modeling for individual investors.〞working paper 02-10. 2. B. De Finetti and Via S. Faustino, (2004),〝Optimal pension management in a stochastic framework.〞Insurance:Mathematics and Economics ,Vol. 34, p79-95. 3. Brison, 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. 4. 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 . 5. G. Lindfield、J. Penny, 1999, Numerical methods using matlab 2/E. Pearson Education Taiwan Ltd. 6. Gerald W. Buetow Jr., and Ronald Sellers, and Donald Trotter, and Elaine Hunt, and Willie A. Whipple Jr., (2002), 〝The Benefits of Rebalancing.〞Journal of Portfolio Management, Vol.28, Iss. 2, p23-32. 7. Haberman, S. and Vigna, E. , (2002),〝Optimal investment strategies and risk measures in defined contribution pension schemes.〞Insurance:Mathematics and Economics , Vol31 , p35-69 . 8. J. F. Boulier, and S. Huang, and G. Taillard, (2001),〝Optimal management under stochastic interest rates:The case of a protected defined contribution pension fund.〞Insurance:Mathematics and Economics , Vol28 , p173-189. 9. Mary Hardy, (2003), Investment Guarantees Modeling and Risk Management for Equity-Linked Life Insurance. Wiley Finance. 10. Yen, Simon H, and Lee, Mei-Hsing, (2006),〝Dynamic Asset Allocation with Downside Risk and Extreme Returns.〞working paper. 11. 林昆亭,「Optimal Control of Defined-Contribution Pension Plan」政治大學94學年度碩士論文。 12. 林昆毅,「投資模型在附保證給付投資型保險之比較與應用」台灣大學94學年度碩士論文。 |
描述 | 碩士 國立政治大學 風險管理與保險研究所 93358024 94 |
資料來源 | http://thesis.lib.nccu.edu.tw/record/#G0933580241 |
資料類型 | thesis |
dc.contributor.advisor | 黃泓智 | zh_TW |
dc.contributor.author (作者) | 林士儼 | zh_TW |
dc.creator (作者) | 林士儼 | 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) | G0933580241 | en_US |
dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/34177 | - |
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) | 93358024 | zh_TW |
dc.description (描述) | 94 | zh_TW |
dc.description.abstract (摘要) | 現行退休金制度已由確定給付制轉換為確定提撥制。投資風險從雇主的身上移往至員工身上,員工退休基金的金額也不確定。因此為了降低投資風險本研究採用預定的所得替代率作為目標給付,並藉由模擬最佳化的方式探討在不同模型假設下之最適資產配置。 本文中最佳化的方式是使用基因演算法,以避免以往演算法最佳化過程中掉入非最佳解的窘境。我們得到以下結論:(一) 靜態資產配置隨投資組合不同報酬率以及變異有很大的差異。即使在相同投資組合下,Regular Rebalance 與 Buy & Hold導致不一樣的結果。(二)動態投資組合較靜態投資組合能獲得高報酬與低風險投資績效。(三) 不同風險偏好投資人可以尋找其最佳化之動態資產配置。 | zh_TW |
dc.description.tableofcontents | 壹、序論 1 貳、靜態資產配置下,最適退休年齡? 4 參、動態資產配置模型建構 9 肆、基因演算法 11 伍、最佳化動態與靜態資產配置 14 陸、不同投資設計的探討 23 柒、不同投資模型的比較 27 捌、結論與建議 30 | 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/#G0933580241 | en_US |
dc.subject (關鍵詞) | 確定提撥 | zh_TW |
dc.subject (關鍵詞) | 基因演算法 | zh_TW |
dc.title (題名) | 確定提撥制下之最適投資決策:隨機最佳化之模型建構 | zh_TW |
dc.type (資料類型) | thesis | en |
dc.relation.reference (參考文獻) | 1. Andrea Consiglio, and Flavio Cocco, and Stavros A. Zenios, (2005),〝Scenario optimization asset and liability modeling for individual investors.〞working paper 02-10. | zh_TW |
dc.relation.reference (參考文獻) | 2. B. De Finetti and Via S. Faustino, (2004),〝Optimal pension management in a stochastic framework.〞Insurance:Mathematics and Economics ,Vol. 34, p79-95. | zh_TW |
dc.relation.reference (參考文獻) | 3. Brison, 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) | 4. 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) | 5. G. Lindfield、J. Penny, 1999, Numerical methods using matlab 2/E. Pearson Education Taiwan Ltd. | zh_TW |
dc.relation.reference (參考文獻) | 6. Gerald W. Buetow Jr., and Ronald Sellers, and Donald Trotter, and Elaine Hunt, and Willie A. Whipple Jr., (2002), 〝The Benefits of Rebalancing.〞Journal of Portfolio Management, Vol.28, Iss. 2, p23-32. | zh_TW |
dc.relation.reference (參考文獻) | 7. Haberman, S. and Vigna, E. , (2002),〝Optimal investment strategies and risk measures in defined contribution pension schemes.〞Insurance:Mathematics and Economics , Vol31 , p35-69 . | zh_TW |
dc.relation.reference (參考文獻) | 8. J. F. Boulier, and S. Huang, and G. Taillard, (2001),〝Optimal management under stochastic interest rates:The case of a protected defined contribution pension fund.〞Insurance:Mathematics and Economics , Vol28 , p173-189. | zh_TW |
dc.relation.reference (參考文獻) | 9. Mary Hardy, (2003), Investment Guarantees Modeling and Risk Management for Equity-Linked Life Insurance. Wiley Finance. | zh_TW |
dc.relation.reference (參考文獻) | 10. Yen, Simon H, and Lee, Mei-Hsing, (2006),〝Dynamic Asset Allocation with Downside Risk and Extreme Returns.〞working paper. | zh_TW |
dc.relation.reference (參考文獻) | 11. 林昆亭,「Optimal Control of Defined-Contribution Pension Plan」政治大學94學年度碩士論文。 | zh_TW |
dc.relation.reference (參考文獻) | 12. 林昆毅,「投資模型在附保證給付投資型保險之比較與應用」台灣大學94學年度碩士論文。 | zh_TW |