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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/34125


    Title: 確定提撥制下之投資策略模擬分析
    Authors: 王曉雲
    Contributors: 黃泓智
    王曉雲
    Keywords: 確定提撥制
    退休年齡風險
    最適投資組合
    Date: 2006
    Issue Date: 2009-09-18
    Abstract: 勞工退休金條例的實施喚醒國人對退休後生活的重視,開始著重退休財務規劃。確定提撥制下,提撥期間退休準備金之運用深深影響退休時之帳戶金額,對員工影響甚鉅,故資金運用乃是由員工自行決定,投資風險由員工承擔,而投資報酬率對退休所得替代率影響甚鉅,提升報酬率能讓員工退休時有足夠的退休金,當考量退休金能有抗通貨膨脹風險時,更需要較高的報酬率來避免通貨膨脹風險。
    本研究採用隨機投資模型模擬股票、債券及兩年期定存報酬率,運用不同投資策略,衡量各種可能投資組合之投資績效與風險,並進一步設計各投資策略之生命週期投資模式,以期分析多期投資策略是否有較大之報酬率、較小之風險。本研究建立最適投資策略之目標函數,供投資者選擇適用之目標函數,在設定控制變數下,尋找最適資產配置。
    在不考慮生命週期策略時,CM投資策略最為有效率,且單位風險報酬最高,CPPI則無論投資組合如何配置,都具有高風險高報酬之特性。比較生命週期時,35年期投資期間,TIPP生命週期投資策略較TIPP為佳,而BH生命週期在35年與20年投資期間有較BH有效率之現象。當高風險投資標的變異大時,不宜採用高風險之投資組合,會造成高風險低報酬之情形。另投資者可以根據本研究之最適投資策略設定,選擇最符合自身風險之最佳資產配置策略。
    Reference: 1. Brinson, G.P., and Singer, B.D., and Beebower, G.L., (1991),”Determinants of portfolio Performance II:An Update”Financial Analyst Journal,Vol. 47,Iss. 3,p40-48.
    2. Brennan, M.J., and Schwartz, E.S., and Lagnado, R.,(1997),”Strategic asset allocation.”Journal of Economic Dynamics and Control, 21,p1377-1403.
    3. David Blake,and Andrew J.G. Carins,and Kevin Dowd, (2001),”Pensionmetrics:stochastic pension plan design and value-at-risk during the accumulation phase.”Insurance:Mathematics and Economics,Vol29,p187-215.
    4. Thomson, R.J.,(1998),”The use of utility functions for investment channel choice in defined contribution retirement funds.”In:Trans,16th Conf. Int. Assoc. Cons. Act.
    5. Vigna, E.,and Haberman, S.(2001),”Optimal Investment Strategy for defined contribution pension schemes.”Insurance mathematics and Economics,28,p233-262.
    6. Plaxco, L.M.,and Arnott, R.D.,(2002),”Rebalancing a Global Policy Benchmark.”Journal of Portfolio Management,Vol.28 Iss.2,p9-22.
    7. Perold, A.F. and W.F. Sharpe(1988),”Dynamic Strategies for Asset Allocation.”, Financial Analysts Journal,16-27.
    8. Andrea Consiglio,and Flavio Cocco, and Stavros A.Zenios,(2002),”Scenario optimization asset and liability modeling for individual investors.”working paper 02-07.
    9. Paolo Battocchio,and Francesco Menoncin,(2004),”Optimal pension management in a stochastic framework.”,Mathematics and Economics,p79-95.
    10.Markowitz, Harry M.,(1952),”Portfolio Selection.”Journalof Finance,March,p77-91.
    11.Sharpe, W.F.,(1966),”Mutual fund performance.”Journal of Business,39,p119-138.
    12.Sharpe William, Fall 1944,”The Sharpe Ratio.”,The Jurnal of Portfolio Management,Vol. 21,Iss. 1,p49-58.
    Description: 碩士
    國立政治大學
    風險管理與保險研究所
    93358009
    95
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0093358009
    Data Type: thesis
    Appears in Collections:[風險管理與保險學系] 學位論文

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