| dc.contributor.advisor | 黃泓智 | zh_TW |
| dc.contributor.author (Authors) | 朱紓葶 | zh_TW |
| dc.creator (作者) | 朱紓葶 | zh_TW |
| dc.date (日期) | 2008 | en_US |
| dc.date.accessioned | 8-Dec-2010 16:33:07 (UTC+8) | - |
| dc.date.available | 8-Dec-2010 16:33:07 (UTC+8) | - |
| dc.date.issued (上傳時間) | 8-Dec-2010 16:33:07 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0096358019 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/49679 | - |
| 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) | 96358019 | zh_TW |
| dc.description (描述) | 97 | zh_TW |
| dc.description.abstract (摘要) | 本文延續Huang(2004, 2008)的研究，將單期與多期挹注資金的資產負債管理議題專化於DC確定提撥退休金制度上，其研究將問題化成二次函數，以一般化最小平方法(Generalized least square, GLS)求出具有唯一解特性的決策變數，利用的軟體求解速度相當快，能有效率地一次找出多項資產配置比例。 本研究引入三種投資模型及其薪資模型，分別是Wilkie(1995)模型、MacDonald and Cairns(2007)模型、Huang and Cairns(2006)及Li(2009)，以蒙地卡羅模型模擬出各投資標的年報酬率與薪資水準，並利用這些預期的模擬值在負債目標控制為隨機成長或固定比例成長下，找出最適投資比例、每期挹注的額度與提撥比例。最適配置為了解決下方風險(downside risk)問題，在允許限定風險容忍度下去最大化投資績效，本研究將目標函數加入衡量報酬項，依據員工希望的報酬，討論此項權重如何最適。亦加入交易成本項以反映實務情況，此投資總交易成本為權重的函數，於足夠支付交易成本的前提下找出權重最小值。 | zh_TW |
| dc.description.abstract (摘要) | In this study, the simulation of the return for each investment and wage pattern is via introduction of three investment model and their wage model, namely, Wilkie (1995) model, MacDonald and Cairns (2007) model, Huang and Cairns (2006) model and Li (2009), by using Monte Carlo simulation. The optimal contribution rate of investments, the amount of injection of each period, and income replacement ratio are determined when simulation is targeted in the balance control for the random growth or growth under a fixed rate of liabilities.The asset-liability management of single-period and multi-period injection of funds is specialized in the Defined contribution plan (DC), which is the extension of Huang’s (2004, 2008) study. Huang’s research transforming his argument into a quadratic function to generalized least squares method (GLS) having a unique solution to derive the decision-making variables. This method can efficiently find a set of allocation by software at a fairly rapid speed.The optimal allocation is to maximize investment performance subject to a limited risk had to tolerance for deal with downside risk. This study ameliorates the objective function by adding a constant term, which does not affect the investment decision-making variable. This new generalized least squares method use a constant represented as a weight, which is based on the desire asset of the employee. This study also takes transaction costs into consideration to reflect the practical situation. The total transaction costs are the function of the weight introduced into the new objective function. The minimum of weight can be reached when the goal is set to be sufficient to cover the transaction costs | en_US |
| dc.description.tableofcontents | 摘要 3Abstract 4第一章 緒論 5第一節 研究目的 5第二節 文獻回顧 6第三節 研究架構 9第二章 投資模型與薪資模型建構 10第一節 Wilkie模型 10第二節 MacDonald and Cairns 12第三節 Huang and Andrew 15第三章 資產負債模型建構 17第一節 資產模型 17第二節 負債模型 21第三節 目標函數 24第四節 交易成本 30第四章 數值結果分析 31第一節 薪資模型比較 31第二節 投資模型比較 33第三節 負債類型比較 36第四節 投資績效 39第五節 目標函數權重 42第五章 結論與建議 44附錄 參考文獻 45 | zh_TW |
| dc.format.extent | 142078 bytes | - |
| dc.format.extent | 266776 bytes | - |
| dc.format.extent | 146424 bytes | - |
| dc.format.extent | 147260 bytes | - |
| dc.format.extent | 206808 bytes | - |
| dc.format.extent | 531604 bytes | - |
| dc.format.extent | 291281 bytes | - |
| dc.format.extent | 831251 bytes | - |
| dc.format.extent | 156045 bytes | - |
| dc.format.extent | 133265 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0096358019 | en_US |
| dc.subject (關鍵詞) | 資產負債管理 | zh_TW |
| dc.subject (關鍵詞) | 最適配置 | zh_TW |
| dc.subject (關鍵詞) | 提撥率 | zh_TW |
| dc.subject (關鍵詞) | 投資績效 | zh_TW |
| dc.subject (關鍵詞) | Asset liability matching | en_US |
| dc.subject (關鍵詞) | Optimal allocation | en_US |
| dc.subject (關鍵詞) | Contribution rate | en_US |
| dc.subject (關鍵詞) | performance | en_US |
| dc.title (題名) | 退休準備：最適配置與投資績效 | zh_TW |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | 1. Battocchio, P., Menoncin, F., (2004). Optimal pension management in a stochastic framework. Insurance: Mathematics and Economics 34, 79-95 | zh_TW |
| dc.relation.reference (參考文獻) | 2. Bielecki, T.R., Jin, H., Pliska, S.R., Zhou, X.Y., (2005). Continuous-time mean–variance portfolio selection with bankruptcy prohibition. Mathematical Finance 15, 213–244. | zh_TW |
| dc.relation.reference (參考文獻) | 3. Blake, D., Cairns, A.J.G., Dowd, K., (2000). Optimal dynamic asset allocation for defined-contribution plans. The Pension Institute, London, Discussion Paper PI 2003. | zh_TW |
| dc.relation.reference (參考文獻) | 4. Boulier, J. F., Huang, S.J., Taillard, G., 2001. Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund. Insurance: Mathematics and Economics 28, 173-189 | zh_TW |
| dc.relation.reference (參考文獻) | 5. Campbell, J.Y., Viceira, L.M., (2002). Strategic Asset Allocation: Portfolio Choice for Long-term Investors. Oxford University Press, Oxford | zh_TW |
| dc.relation.reference (參考文獻) | 6. Chiu, M. C., Li, D., (2006). Asset and liability management under a continuous-time mean-variance optimization framework. Insurance: Mathematics and Economics 39, 330-355 | zh_TW |
| dc.relation.reference (參考文獻) | 7. Cox , J.C. and C.F. Huang, (1989). Optimum Consumption and Portfolio Policies when Asset Prices Follow a Diffusion Process. Journal of Economic Theory 49, 33-83 | zh_TW |
| dc.relation.reference (參考文獻) | 8. Cox , J.C. and C.F. Huang, (1991). A Variational Problem Arising in Financial Economics. Journal of Mathematical Economics 20, 465-487 | zh_TW |
| dc.relation.reference (參考文獻) | 9. Cox J.C., J.E. Ingersoll and S.A. Ross, (1985). A Theory of the Term Structure of Interest Rates. Econometrica 53, 385-407 | zh_TW |
| dc.relation.reference (參考文獻) | 10. Deelstra, G., Grasselli, M., Koehl, P.F., 2003. Optimal investment strategies in the presence of a minimum guarantee. Insurance: Mathematics and Economics 33, 189–207. | zh_TW |
| dc.relation.reference (參考文獻) | 11. Devolder, P., Bosch, P.M., Dominguez, F.I., (2003). Stochastic optimal control of annuity contracts. Insurance: Mathematics and Economic 33,227-238 | zh_TW |
| dc.relation.reference (參考文獻) | 12. Emms, P., Haberman, S., (2007). Asymptotic and numerical analysis of the optimal investment strategy for an insurer. Insurance: Mathematics and Economics 40, 113-134. | zh_TW |
| dc.relation.reference (參考文獻) | 13. Franke, G., Peterson, S., Stapleton, R.C., (2001). Intertemporal portfolio behaviour when labor income is uncertain. In: Proceedings of the SIRIF Conference on Dynamic Portfolio Strategies, Edinburgh, May 2001. | zh_TW |
| dc.relation.reference (參考文獻) | 14. Haberman, S., Vigna, E., (2002). Optimal investment strategy and risk measures in defined contribution pension schemes. Insurance: Mathematics and Economics 41, 134-155 | zh_TW |
| dc.relation.reference (參考文獻) | 15. Hainaut, D., and Devolder, P., (2007). Management of a Pension Fund under Mortality and Financial Risks. Insurance: Mathematics and Economics 41, 134-155. | zh_TW |
| dc.relation.reference (參考文獻) | 16. Hardy, M., (2003), Investment Guarantees, John Wiley & Sons, Inc. | zh_TW |
| dc.relation.reference (參考文獻) | 17. Huang H.C., Andrew J.G. Cairns , (2006). On the control of defined-benefit pension plans, , Insurance: Mathematics and Economics 38, 113–131 | zh_TW |
| dc.relation.reference (參考文獻) | 18. Huang, H.C., (2000), Stochastic modeling and control of pension plans. Ph.D. Thesis, Heriot-Watt University. | zh_TW |
| dc.relation.reference (參考文獻) | 19. Huang, H.C., Hsieh, M-H, Liu, C-C, The Maturity Matching of Assets to Liabilities: A Generalized Least Square Formulation , Review of Securities of Futures Market 20(2), 2008 (TSSCI) | zh_TW |
| dc.relation.reference (參考文獻) | 20. Huang, H-C, (2004). Optimal Asset Allocation : A Multi-Period Matching of Assets to Liabilities in a Discrete Model, FAPARMO and RMST International Risk and Insurance Management Conference, Taipei, Taiwan | zh_TW |
| dc.relation.reference (參考文獻) | 21. J. Tobin, (1958). Liquidity Preference as Behavior Towards Risk, Review of Economic Studies25: pp. 65–86. | zh_TW |
| dc.relation.reference (參考文獻) | 22. Karoui , N. El., Jeanblanc-Picqué, M., (1998) . Optimization of consumption with labor income. Finance and Stochastics 2, p. 409-440 | zh_TW |
| dc.relation.reference (參考文獻) | 23. Li, D., Ng, W.L., (2000). Optimal dynamic portfolio selection: multiperiod mean–variance formulation. Mathematical Finance 10, 387–406. | zh_TW |
| dc.relation.reference (參考文獻) | 24. Li, E.T., (2009), Optimal Fund Management under the Mean-Variance Approach. Ph.D. Thesis, National Chengchi University. | zh_TW |
| dc.relation.reference (參考文獻) | 25. MacDonald, B.-J. and Cairns, A.J.G., (2007), The impact of DC pension systems on population dynamic, North Americal Actuarial Journal, 11, 1: 1-32. | zh_TW |
| dc.relation.reference (參考文獻) | 26. Markowitz, and Harry, (1952). Portfolio Selection. Journal of Finance , pp.77-91. | zh_TW |
| dc.relation.reference (參考文獻) | 27. Markowitz, H.M. (1959). Portfolio Selection: Efficient Diversification of Investments. New York: John Wiley & Sons. | zh_TW |
| dc.relation.reference (參考文獻) | 28. Menoncin, F., Scaillet, O., (2006). Optimal asset management for pension funds. Managerial Finance 32, 347-374 | zh_TW |
| dc.relation.reference (參考文獻) | 29. Merton, R., (1971), Optimum consumption and portfolio rules in a continuous-time model, Journal of Economic Theory 3, 373-413 (1971) | zh_TW |
| dc.relation.reference (參考文獻) | 30. Sharpe, W.F., Tint, L.G., (1990). Liabilities-a new approach. Journal of Portfolio Management 16, 5–10. | zh_TW |
| dc.relation.reference (參考文獻) | 31. Vasicek, O. E., (1977). An Equilibrium Characterization of the Term Structure. Journal of Financial Economics 5(2): 177-188 | zh_TW |
| dc.relation.reference (參考文獻) | 32. Wilkie, A. D., (1986), A Stochastic Investment Model for Actuarial Use, T.F.A. 39,341-403. | zh_TW |
| dc.relation.reference (參考文獻) | 33. Wilkie, A. D., (1995), More on a Stochastic Asset Model for Actuarial Use, British Actuarial Journal, 1, 777-964. | zh_TW |
| dc.relation.reference (參考文獻) | 34. Wise, A.J., (1984a), A theoretical analysis of the matching of assets to liabilities.” Journal of Institute of Actuaries,111(Part II)：375-402 | zh_TW |
| dc.relation.reference (參考文獻) | 35. Wise, A.J., (1984b), The matching of assets to liabilities. Journal of the Institute of Actuaries,111(Part II)：445-501 | zh_TW |
| dc.relation.reference (參考文獻) | 36. Wise, A.J.,（1987a） Matching and Portfolio Selection: Part 1 Journal of Institute of Actuaries,114, 113-133 * | zh_TW |
| dc.relation.reference (參考文獻) | 37. Wise, A.J.,（1987b） Matching and Portfolio Selection: Part 2 Journal of Institute of Actuaries,114, 551-568 | zh_TW |
| dc.relation.reference (參考文獻) | 38. Zhou, X.Y., Li, D., (2000). Continuous-time mean–variance portfolio selection: A stochastic LQ framework. Applied Mathematics and Optimization 42, 19–33. | zh_TW |
| dc.relation.reference (參考文獻) | 39. Zhu, S.S., Li, D., Wang, S.Y., (2004). Risk control over bankruptcy in dynamic portfolio selection: A generalized mean–variance formulation. IEEE Transactions on Automatic Control 49, 447–457. | zh_TW |
