| dc.contributor.advisor | 黃泓智 | zh_TW |
| dc.contributor.author (Authors) | 賴昱岑 | zh_TW |
| dc.creator (作者) | 賴昱岑 | zh_TW |
| dc.date (日期) | 2008 | en_US |
| dc.date.accessioned | 8-Apr-2010 16:53:27 (UTC+8) | - |
| dc.date.available | 8-Apr-2010 16:53:27 (UTC+8) | - |
| dc.date.issued (上傳時間) | 8-Apr-2010 16:53:27 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0095358008 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/38421 | - |
| 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) | 95358008 | zh_TW |
| dc.description (描述) | 97 | zh_TW |
| dc.description.abstract (摘要) | 本研究試討論個人退休需求，以分列出退休前及退休後面臨之各項費用的方式探討之。其中，退休金不足度預估有別於以往以所得替代率估計方式，而是依退休後希望之生活水準所列出之各項費用來估計退休金需求，計算出退休金不足度。之後再探討個人剩餘可用資金的資產配置，比較不同投資策略之結果。採用之投資策略包括買入持有投資策略 (Buy and Hold, BH)、固定混合法投資策略(Constant Mixture, CM)、以CM策略為基礎的新投資策略：在每階段可容忍之風險下，決定出該階段最大化投資報酬之投資比例，其中，以風險值(Value at Risk, VaR)為風險衡量值，希望以VaR為界的方式，找出類似於生命週期(Lifestyle)投資策略的投資方式，及時間不變性投資組合保險策略(Time-Invariant Protection Portfolio Insurance, TIPP)四種策略。投資標的為股票及債券兩種標的，利用隨機模型以蒙地卡羅模擬的方式建構投資標的之報酬率。 | zh_TW |
| dc.description.tableofcontents | 第一章 緒論 1第一節 研究動機及目的 1第二節 文獻回顧 3第二章 退休需求分析 7第一節 退休金財源分析 7第二節 退休後財務需求分析 10第三節 退休前財務需求分析及重要假設 10第四節 退休金不足度分析 12第五節 研究步驟整理 13第三章 投資模型、投資策略及績效衡量指標 16第一節 投資模型 17第二節 投資策略 19第三節 投資績效衡量指標 25第四章 數值結果分析 27第一節 情境分析 27第二節 退休需求增加分析 37第三節 敏感度分析 42第五章 結論 47參考文獻 49附錄一 情境假設 51附錄二 其他情境數值結果 54 | 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/#G0095358008 | en_US |
| dc.subject (關鍵詞) | 個人資產配置 | zh_TW |
| dc.subject (關鍵詞) | 剩餘可用資金 | zh_TW |
| dc.subject (關鍵詞) | 退休需求分析 | zh_TW |
| dc.title (題名) | 退休需求分析與其投資策略之探討 | zh_TW |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | 1. Battocchio, Paolo and Francesco Menoncin, 2004. “Optimal Pension Management in a Stochastic Framework.” Insurance: Mathematics and Economics, Vol. 34, p.79-95. | zh_TW |
| dc.relation.reference (參考文獻) | 2. Blake, David, Andrew J.G. Cairns and Kevin Dowd, 2001. “Pensionmetrics: Stochastic Pension Plan Design and Value-at-Risk during the Accumulation Phase.” Insurance: Mathematics and Economics, Vol. 29, p.187-215. | zh_TW |
| dc.relation.reference (參考文獻) | 3. Booth, Philip and Yakoub Yakoubov, 2000. “Investment policy for defined-contribution pension scheme members close to retirement: An analysis of the “lifestyle” concept.” North American Actuarial Journal, Vol. 4, p.1-19. | zh_TW |
| dc.relation.reference (參考文獻) | 4. Boulier, Jean-François, ShaoJuan Huang and Grégory Taillard, 2001. “Optimal Management under Stochastic Interest Rates: The Case of a Protected Defined Contribution Pension Fund.” Insurance: Mathematics and Economics, Vol. 28, p.173-189. | zh_TW |
| dc.relation.reference (參考文獻) | 5. Brinson, Gary P., Brian D. Singer and Gilbert L. Beebower, 1991. “Determinants of Portfolio Performance II: An Update”, Financial Analysts Journal, Vol. 47, No. 3, p.40-48. | zh_TW |
| dc.relation.reference (參考文獻) | 6. Consiglio, Andrea, Flavio Cocco and Stavros A. Zenios, 2007. “Scenario Optimization Asset and Liability Modelling for Individual Investors.” Annals of Operations Research, Vol. 152, No. 1, p.167-191. | zh_TW |
| dc.relation.reference (參考文獻) | 7. Estep, Tony and Mark Kritzman, 1988. “TIPP: Insurance without Complexity.” Journal of Portfolio Management, Vol. 14, No. 4, p.38-42. | zh_TW |
| dc.relation.reference (參考文獻) | 8. Holzmann, Robert, Richard Hinz, and Staff of the World Bank, 2005. Old-Age Income Support in the 21st Century. Washington, DC: World Bank. | zh_TW |
| dc.relation.reference (參考文獻) | 9. Markowitz, Harry M., 1991. “Individual versus Institutional Investing.” Financial Services Review, Vol. 1, No. 1, p.1-8. | zh_TW |
| dc.relation.reference (參考文獻) | 10. Plaxco, Lisa M. and Robert D. Arnott, 2002. “Rebalancing a Global Policy Benchmark.” Journal of Portfolio Management, Vol. 28, No. 2, p.9-22. | zh_TW |
| dc.relation.reference (參考文獻) | 11. World Bank, 1994. Averting the Old Age Crisis. New York: Oxford University Press. | zh_TW |
| dc.relation.reference (參考文獻) | 12. Ziemba, William T. and John M. Mulvey, 1998. Worldwide Asset and Liability Modeling. Cambridge, MA: Cambridge University Press. | zh_TW |
| dc.relation.reference (參考文獻) | 13. 王曉雲，2007年，「確定提撥制下之投資策略模擬分析」，國立政治大學風險管理與保險學系碩士論文。 | zh_TW |
| dc.relation.reference (參考文獻) | 14. 台北金融研究發展基金會，2006年，「CFPTM認證系列課程III—員工福利與退休金規劃」，增修訂二版。 | zh_TW |
