| dc.contributor.advisor | 黃泓智 | zh_TW |
| dc.contributor.advisor | Huang, Hong Chih | en_US |
| dc.contributor.author (Authors) | 黃迪揚 | zh_TW |
| dc.contributor.author (Authors) | Huang, Di Yang | en_US |
| dc.creator (作者) | 黃迪揚 | zh_TW |
| dc.creator (作者) | Huang, Di Yang | en_US |
| dc.date (日期) | 2008 | en_US |
| dc.date.accessioned | 8-Dec-2010 16:36:41 (UTC+8) | - |
| dc.date.available | 8-Dec-2010 16:36:41 (UTC+8) | - |
| dc.date.issued (上傳時間) | 8-Dec-2010 16:36:41 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0096358021 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/49681 | - |
| 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) | 96358021 | zh_TW |
| dc.description (描述) | 97 | zh_TW |
| dc.description.abstract (摘要) | 動態規劃是一種專門用來解決最適化的數學方法，其觀念源自於Bellman (1962)，他提出了動態規劃的最佳原則，然而動態規劃問題不見得有封閉解(closed form solution)，即使其存在，求解過程往往也相當困難且複雜。Vigna & Haberman (2001)用動態規劃方式找出最佳的投資策略並分析確定提撥制(defined contribution)下的財務風險；本研究擬以Vigna & Haberman (2001)的模型為基礎，提出解決動態規劃問題的數值方法。 Vigna & Haberman (2001)推導出確定提撥退休金制度下離散時間的最適投資策略封閉解，透過該模型，我們可以比較本研究所建議的方法與真正封閉解的差異，證實本研究所建議的方法的確可以提供動態規劃問題一個接近且有效率的數值解法。接著根據Yvonne C.(2002、2003)的抽樣方法，希望在進行模擬時，能找出模擬情境的特性並對這些情境進行抽樣，藉此減少情境數以增加電腦運算的效率。最後應用在Vigna & Haberman (2001)的修正模型以及Haberman & Vigna (2002)的模型上，說明了本研究所建議的數值方法也適用在各類型的動態規劃上，包含理論封閉解不存在以及求解非常複雜的問題。 | zh_TW |
| dc.description.tableofcontents | 第壹章 緒論 1第一節、 研究動機及目的 1第二節、 研究架構 2第貳章 文獻回顧 4第一節、 傳統模型探討 4第二節、 動態規劃介紹 4第三節、 動態規劃數值解 6第四節、 情境抽樣 6第參章 資產累積模型與目標函數 7第一節、 帳戶價值的累積 71. 各期帳戶目標價值 82. 投資決策的最適化 8第二節、 最適動態策略 9第肆章 動態規劃數值解 11第一節、 數值解方法－利用決策表 11第二節、 決策表的建構 121. 建構第T期投資決策表 132. 建構第T-1期投資決策表 143. 建構第T-2期、第T-3期…投資決策表 15第伍章 數值解與理論解之比較 16第一節、 理論解與數值解 16第二節、 結果分析 19第三節、 重複模擬 21第陸章 情境抽樣 23第一節、 均勻抽樣法 231. 定義顯著測度 232. 系統抽樣 233. 顯著測度的修正 24第二節、 數值結果 241. 顯著測度的機率密度函數 252. 抽樣結果 253. 均勻抽樣法有效性之驗證 26第柒章 數值解方法的應用 29第一節、 Vigna & Haberman (2001)的修正 291. 資產投資模型 292. 數值結果 29第二節、 Haberman & Vigna (2002) 301. 資產投資模型 312. 理論封閉解 323. 數值結果 34第捌章 結論與建議 36參考文獻 38附錄一 10000組情境的數值結果 40附錄二 均勻抽樣法的數值結果 41附錄三 1000組情境的數值結果 42附錄四 有買空和賣空限制下的投資決策表 43附錄五 三種資產下的投資決策表 46 | 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/#G0096358021 | en_US |
| dc.subject (關鍵詞) | 資產配置 | zh_TW |
| dc.subject (關鍵詞) | 動態規劃 | zh_TW |
| dc.subject (關鍵詞) | 數值解 | zh_TW |
| dc.subject (關鍵詞) | Asset Allocation | en_US |
| dc.subject (關鍵詞) | Dynamic Programming | en_US |
| dc.subject (關鍵詞) | Numerical Solution | en_US |
| dc.title (題名) | 最適資產配置-動態規劃問題之數值解 | zh_TW |
| dc.title (題名) | Optimal asset allocation-the numerical solution of dynamic programming | en_US |
| dc.type (資料類型) | thesis | en |
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| dc.relation.reference (參考文獻) | 11. Vigna, E., and Haberman, S., (2001), "Optimal Investment Strategy for defined contribution pension schemes." Insurance mathematics and Economics, 28, p233-262. | zh_TW |
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| dc.relation.reference (參考文獻) | 15. Wise, A.J.,（1987a） “Matching and Portfolio Selection:Part 1 “Journal of Institute of Actuaries,114, 113-133 | zh_TW |
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| dc.relation.reference (參考文獻) | 17. Yvonne, C., (2002), "Efficient Stochastic Modeling For Large and Consolidated Insurance Business：Interest Rate Sampling Algorithms." North American Actuarial Journal, Vol.6 Iss. 3, p88-103. | zh_TW |
| dc.relation.reference (參考文獻) | 18. Yvonne, C., (2003), " Efficient Stochastic Modeling：From Scenario Sampling To Parametric Model Fitting Utilizing ASEM as an Exampling." International Professional Development Symposium Co-sponsored by Canadian Institute of Actuaries, Actuarial Foundation, and Society of Actuaries, Toronto, Canada. | zh_TW |
