| dc.contributor.advisor | 黃泓智 | zh_TW |
| dc.contributor.advisor | Huang, Hong Chih | en_US |
| dc.contributor.author (Authors) | 蔡明諺 | zh_TW |
| dc.contributor.author (Authors) | Tsai, Ming Yen | en_US |
| dc.creator (作者) | 蔡明諺 | zh_TW |
| dc.creator (作者) | Tsai, Ming Yen | en_US |
| dc.date (日期) | 2009 | en_US |
| dc.date.accessioned | 8-Dec-2010 16:51:01 (UTC+8) | - |
| dc.date.available | 8-Dec-2010 16:51:01 (UTC+8) | - |
| dc.date.issued (上傳時間) | 8-Dec-2010 16:51:01 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0973580231 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/49690 | - |
| 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) | 97358023 | zh_TW |
| dc.description (描述) | 98 | zh_TW |
| dc.description.abstract (摘要) | 動態規劃的問題並不一定都存在封閉解(closed form solution)，即使存在，其過程往往也相當繁雜。本研究擬以 Gerrard & Haberman (2004) 的模型為基礎，並使用逼近動態規劃理論解的數值方法來求解，此方法參考自黃迪揚(2009)，其研究探討在有無封閉解的動態規劃下，使用此數值方法求解可以得到逼近解。本篇嘗試延伸其方法，針對不同類型的限制，做更多不同的變化。Gerrard & Haberman (2004)推導出退休後投資於風險性資產與無風險性資產之最適投資策略封閉解， 本研究欲將模型投資之兩資產衍生至三資產，分別投資在高風險資產、中風險資產與無風險資產，實際市場狀況下禁止買空賣空的情況與風險趨避程度限制資產投資比例所造成的影響。並探討兩資產與三資產下的投資結果，並加入不同的目標函數:使用控制變異數的限制式來降低破產機率、控制帳戶差異部位讓投資更具效率性。雖然加入這些限制式會導致目標函數過於複雜，但是用此數值方法還是可以得出逼近解。 | zh_TW |
| dc.description.abstract (摘要) | Dynamic Programming’s solution is not always a closed form. If it do exist, the solution of progress may be too complicated. Our research is based on the investing model in Gerrard & Haberman (2004), using the numerical solution by Huang (2009) to solve the dynamic programming problem. In his research, he found out that whether dynamic programming problem has the closed form, using the numerical solution to solve the problems, which could get similar result. So in our research, we try to use this solution to solve more complicate problems. Gerrard & Haberman (2004) derived the closed form solution of optimal investing strategy in post retirement investment plan, investing in risky asset and riskless asset. In this research we try to invest in three assets, investing in high risk asset, middle risk asset and riskless asset. Forbidden short buying and short selling, how risk attitude affect investment behavior in risky asset and riskless asset. We also observe the numerical result of 2 asset and 3 asset, using different objective functions : using variance control to avoid ruin risk, consideration the distance between objective account and actual account to improve investment effective. Although using these restricts may increase the complication of objective functions, but we can use this numerical solution to get the approximating solution. | en_US |
| 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 文獻探討 4第參章 退休需求規劃 6第一節、 帳戶價值累積 6第二節、 最適動態策略 9第三節、 目標函數類型探討 10第肆章 動態規劃的數值解 12第一節、 數值解方法 12第伍章 數值模擬 15第一節、 數值結果比較 15第二節、 重複模擬 22第三節、 買空賣空限制 22第四節、 三資產投資 28第五節、 投資比例限制 29第六節、 改變目標函數 31第陸章 結論與建議 38參考文獻 40附錄一 三資產投資的數值結果 42附錄二 三資產下風險中立者的數值結果 47附錄三 三資產下風險趨避者的數值結果 51附錄四 兩資產下帳戶變異數控制的數值結果 55附錄五 兩資產下控制帳戶差異部位的數值結果 59附錄六 三資產下帳戶變異數控制的數值結果 63附錄七 三資產下控制帳戶差異部位的數值結果 68 | zh_TW |
| dc.format.extent | 1853568 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/#G0973580231 | 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) | 二次損失函數 | zh_TW |
| dc.subject (關鍵詞) | 破產機率 | 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.subject (關鍵詞) | Quadratic Loss Function | en_US |
| dc.subject (關鍵詞) | ruin probability | en_US |
| dc.title (題名) | 動態規劃數值解 ：退休後資產配置 | zh_TW |
| dc.title (題名) | Dynamic programming numerical solution: post retirement asset allocation | en_US |
| dc.type (資料類型) | thesis | en |
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