| dc.contributor.advisor | 黃泓智 | zh_TW |
| dc.contributor.author (Authors) | 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 (Other Identifiers) | 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 |
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| 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 |
