| dc.contributor.advisor | 張士傑 | zh_TW |
| dc.contributor.author (Authors) | 楊凱勛 | zh_TW |
| dc.creator (作者) | 楊凱勛 | zh_TW |
| dc.date (日期) | 2009 | en_US |
| dc.date.accessioned | 8-Dec-2010 16:41:09 (UTC+8) | - |
| dc.date.available | 8-Dec-2010 16:41:09 (UTC+8) | - |
| dc.date.issued (上傳時間) | 8-Dec-2010 16:41:09 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0097358024 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/49684 | - |
| 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) | 97358024 | zh_TW |
| dc.description (描述) | 98 | zh_TW |
| dc.description.abstract (摘要) | 本研究討論以負債導向之退休基金的資產配置模型，並以股票型風險性資產為主要配置標的。隨機控制模型在推導過程中相當繁瑣，經常得不到封閉解，本研究之優點為，實際導出多項資產標的下之一般化封閉解，可進行財務經濟推論，直接得到不同參數對基金之影響，輔以台灣公務人員退撫基金第4次精算報告，為實證研究對象，接著加入投資限制之情境分析與模擬，得到結論。最適提撥隨著正常成本及給付上升而提高，若退休基金於當期有殘餘基金，則可因由投資獲利而少提撥部分資金。回饋函數之最適解同時權衡反應未來之精算正常成本與當期給付，正常成本上升而增加風險性投資，而因當期給付上升而減少風險投資趨於保守。若股票市場報酬率大於利率，投資者將增加股票之比例，以增加投資效果，投資者將對市場股票型資產同時做多空操作，進行避險。反之，隨著短期利率上升後，投資於股票部位將會漸漸移入現金持有，減少股票型風險性資產佔總資產之比例。 | zh_TW |
| dc.description.tableofcontents | 摘要 I目錄 II圖目錄 III表目錄 IV第一章 緒論 1第一節 研究動機與目的 1第二節 研究範圍與限制 3第三節 研究流程與架構 5第二章 文獻回顧 6第一節 動態隨機模型 6第二節 利率模型 9第三章 精算成本法回顧 10第一節 社會退休金之精算成本法 10第二節 商業退休金之精算成本法 11第四章 財務模型 14第一節 模型建立 14第二節 最適策略之建構 19第三節 推廣至N項資產 25第五章 數值結果 29第一節 數值說明與分析 29第二節 驗證第四章第二節之三個推論 41第六章 結論與建議 43參考文獻 45 | zh_TW |
| dc.format.extent | 4011218 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0097358024 | en_US |
| dc.subject (關鍵詞) | 動態規劃 | zh_TW |
| dc.subject (關鍵詞) | 提撥政策 | zh_TW |
| dc.subject (關鍵詞) | 資產配置 | zh_TW |
| dc.subject (關鍵詞) | 最適策略 | zh_TW |
| dc.title (題名) | 退休基金之策略性資產配置 | zh_TW |
| dc.title (題名) | Asset allocation of optimal strategy in pension management | en_US |
| dc.type (資料類型) | thesis | en |
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