Loading...
|
Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/34164
|
| Title: | 不同投資策略應用於基金及投資聚集效果之研究 |
| Authors: | 王堃峰 |
| Contributors: | 黃泓智
王堃峰 |
| Keywords: | 生命週期基金
Wilkie投資模型
台灣投資模型
投資組合保險
效率前緣
Lifecycle fund
Wilkie Model
Taiwan Model
Portfolio Insurance
Efficient Frontier |
| Date: | 2004 |
| Issue Date: | 2009-09-18 |
| Abstract: | 隨著時間的發展，基金的種類與數量成倍數增長，導致投資人在挑選基金時，亦面臨了選擇股票時的窘境：投資標的數目過多、複雜度高，身陷其中，而不知如何挑選理想的投資組合。目前由於人們對於退休金的相關規劃愈益重視，遂有基金商品針對此概念來設計。
生命週期基金基本上符合這樣的概念，生命週期基金基本上是屬於一種組合型基金，但是並不一定要以組合型基金的型態來顯現，美國80只生命週期基金中將近半數為基金的基金。生命週期基金是為了滿足某個年份左右退休投資者的退休投資目標的基金，如FidelityFreedom系列、FrankRussell Life Points系列、T.Rowe PriceRetirement系列、Vanguard LifeStrategy系列等。例如FidelityFreedom2020是針對2020年左右退休的投資者設計的，為實現投資者退休的投資目標的基金，主要投資在Fidelity旗下股票型基金、債券型基金和貨幣市場基金等各類基金。我們便想要了解此種商品的投資型態下具有何種特色。
我們首先要探討基金在不同投資策略其表現如何，而我們衡量的方式---簡單的說是以是否能夠達到投資人的要求報酬率為基準，以投資報酬率來建構出年金終值，最後以各種投資策略所得到的最終價值之差距做為成本的衡量，之後我們則根據生命週期基金的樣態，自行設計出兩種投資模式同樣來探討不足要求資本的相關概念。
再來以投資聚集效果(pooling effect)為主題，因為在基金存在著不同風險容忍程度的投資人，所以我們希望探討在不同投資策略下所建構的效率前緣對於不同風險忍受程度的投資人是否具有超額報酬。
首先我們就兩種投資標的(股票、債劵)之投資報酬率變化以下列方式作設定---利用隨機模型(Stochastic Model)：並利用蒙地卡羅模擬的方式來建構投資標的之報酬率。
我們觀察不同的起始投資比重(股票資產權重考慮由0%~100%，間隔為1%，共101組；債券資產的權重則為1-股票資產權重，也就是100%~0%)，並以投資組合保險中三種常見的投資策略：買入持有(Buy & Hold；BH)、固定比例混合法(Constant Mixture；CM)及時間不變性投資組合保護(Time-invariant Portfolio Protection；TIPP)，作為投資策略。在完成對投資標的之報酬率變化及投資策略的設定後，就可以在三種投資策略及每個投資策略有101個起始權重下，得到303組不同的投資結果，如此我們就可以得到帳戶的最終價值，就可以針對是否符合投資者要求的報酬率做相關的研究。
同樣的我們可以就個別的投資策略建立個別的效率前緣。之後我們就不同風險容忍程度的投資大眾，以Harry M.Markowitz等人所提出的optimal frontier的概念加以設定風險點(risk point) ，各種不同風險程度的投資人即代表不同的風險點，如此我們便可以就不同的投資模型來探討基金的投資聚集效果(pooling effect) 。
最後我們想探討的部分則是希望讓投資大眾知道如果其處於何種經濟體之下，應該採用何種投資方式，或者是在投資人的不同要求之下，可以知道採取何種投資策略，以求學術上的操作可以應用到實務上，並求取更佳的效果。
With the development of time, the kind and quantity of the fund become multiples to increase, cause investors to face the awkward situation while choosing the stock when they select funds: There is too much figure of the investment object marking investment complexity more diffcult , and does not know how to select ideal investment combination. Nowdays, people put emphasize on retirement plan more and more. so some mutual funds are designed for this concept.
Lifecycle fund is identical to this concept .Lifecycle fund is a kind of Fund of Funds basically, but might not appear like the Fund of Funds , 80 Fund of Funds in U.S.A. nearly half appear like Fund of Funds . Lifecycle fund is for the fund of retired investors` retired investment needs which is different from age-changed , such as Fidelity Freedom series, Frank Russell Life Points series , T.Rowe Price Retirement series , Vanguard Life Strategy series ,etc.. For example Fidelity Freedom2020 is designed for pensioner`s investor to retire about 2020 year, the fund that in order to realize the goal of investors when they retired, make an investment in many objectives, such as stock fund ,bond fund and money market fund ,etc. under command of Fidelity mainly. I want to know the characteristic of lifecycle fund and based on this concept to design mutual fund.
I will discuss behavior of fund in different investment strategies, and the way which we measure ---It is to set the rate of returns by meeting investor`s requirement as the datum, build and pay the end value of the annuity to construct by investing in the rate of returns, for the measurement of " bankrupt " with the disparity of the final value got of various kinds of investment strategies , later I designed two kinds of investment ways according to the concept of lifecycle fund and also discuss the concept of " bankrupt ".
This research will also make emphasize on pooling effect , There are a lot of investors of different risk tolerance in the fund ,so I hope to discuss investor of different risk tolerance will have abcdrmal return under different efficiency frontier which are derived by different invest model and strategies.
First, two kind investment target (stock, bond) Investment rate of returns by way of the following to settle ---Utilize Stochastic Mode: Wilkie investment model, Taiwan investment model and the rate of returns of the one that make use of simulation that build and construct investment terms.
In each method, we will consider 101 different initial ratio of stock value and three different investment strategies: Buy & Hold(BH)、Constant Mixture(CM) and Time-invariant Portfolio Protection(TIPP).According to theses investment combination, I can construct different efficiency frontier under different investment models and strategies. Such final value of the account that we can receive so I can do relevant research to the rate of returns according with investor`s request .
Later, according to investor of different risk tolerance , set some risk point with the concept of optimal frontier published by Harry M.Markowitz, the investors of different risk degrees represent risk point, I can discuss pooling effect in fund under different investment model and strategies.
Finally, the topic I want to discuss is let the investor know at which kind of economy , should adopt the investment strategies , or under investors` different requests, can know which kind of investment tactics are adopted , so that the operation on academy can be applied to the practice , and ask for better result. |
| Reference: | 1. 中華民國證券投資信託暨顧問商業同業公會網站，http://www.sitca.org.tw/。
2. 台灣大學財務金融系（所）基金評比網站，http://www.fin.ntu.edu.tw/。
3.劉貴強，遺傳演算法於組合型基金設品之研究，輔仁大學資訊管理研究所碩士論文。
4. 余文耀，以資訊勘測建構基金中的基金，國立台灣大學財務金融研究所碩士論文。
5. 黃培源與楊偉凱，投資共同基金的第一本書，台北：商業週刊出版股份有限
公司，1998。
6. 黃玉芳，台灣組合型基金發行初期風險與績效評估，中原大學企業管理研究所碩士論文。
7. 呂美瑩，台灣發展組合型基金之可行性研究，國立臺灣大學財務金融學研究所碩士論文。
8. 陳宣全，我國新金融商品發展暨行銷之探討，國立臺灣大學國際企業學研究所碩士論文。
9.蔡惠名，擴充固定比例(CPPI)與時間不變性投資組合保險策略(TIPP)於投資組合之應用，中央大學資訊管理研究所碩士論文。
10.陳玫纓，台灣退休基金資產配置與投資組合保險策略之研究，國立台灣大學財務金融研究所未出版碩士論文，1997 年6 月。
11. 邵光耀，投資組合保險策略之績效－台灣股市之實證研究，國立台灣大學商學研究所未出版碩士論文，1991 年6 月。
12. 許溪南、黃銘輝， Strap 與Strip 混合策略在台灣股市之應用，中山管理評論，1999, 101-127
13. Fothergill and Coke, “Fund of Hedge Funds: An Introduction to Multi-Manager。
Funds,” The Journal of Alternative Investments, Fall 2001, pp.7-16.
14. Golec, J. H., “The Effects of Mutual Fund Managers’ Characteristics on Their Portfolio Performance, Risk and Fees,” Financial Services Review, 1996 5,pp.133-148.。
15.Clarence C.Y.Kwan, “Improving the Efficient Frontier” The Journal of Portfolio Management,2003 pp.69-79。
16.Felix Schirripa and Nan D. Tecotzky, “An Optimal Frontier” The Journal of Portfolio Management,2000 pp.29-39。
17.Harry M. Markowitz, Felix Schirripa and Nan D. Tecotzky, “A More Efficient Frontier”The Journal of Portfolio Management,1999 pp.99-107。
18.Anonymous,”What Life Cycle Have to Offer” Pension Benefits; Aug 2004。
19.Daniel Fariey,”The Place for Lifestyle Funds in a 401(K) Plan” Point of View;2004。
20.Mila Getmansky Sherman,”The Life Cycle of Hedge Funds: Fund Floes, Flows, Size and Performance” CISDM 2004 Annual Meeting。
21. Brennan, J. Michael and Eduardo S. Schwartz, 1988, Time-Invariant Portfolio Insurance Strategies, Journal of Finance, 283-299.
22. Choie, Kenneth S. and Eric J. Seff, 1989, TIPP: Insurance without complexity: Comment, Journal of Portfolio Management, 107-108.
23. Black, Fischer and Robert Jones, 1987, Simplifying Portfolio Insurance, Journal of Portfolio Management, 48-51.
24. Black, Fisher and Myron Scholes, 1973, The Pricing of Options and Corporate Liabilities, Journal of Political Economy, 637-659. |
| Description: | 碩士
國立政治大學
風險管理與保險研究所
92358009
93 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0923580092 |
| Data Type: | thesis |
| Appears in Collections: | [風險管理與保險學系] 學位論文
|
All items in 政大典藏 are protected by copyright, with all rights reserved.
|
