Reference: | 中文部分 1.黃泓智、余淸祥、楊曉文、黃彥富(2005),「隨機投資模型與長期負 債投資避險策略之研究」,證券市場發展季刊,第十七卷,第四期(將 刊登)(TSSCI)。 2.吳青峰(2002),「最適資產配置:投資模型建構及基因演算法之應 用」,國立政治大學風險管理與保險學系碩士論文。 3.蔡秉寰(2001),「資產配置之動態規劃」,國立政治大學金融系碩士論 文。 4.閔志清(1997),「台灣基金資產配置之研究」,國立台灣大學財務金融 學系碩士論文。 5.張智星(2000),「MATLAB 程式設計與應用」,清蔚科技出版。 英文部分 1.Berketi, A., (1998), "Allowing for insurance companies’ liabilities in mean - variance models." Ph.D. Thesis, Heriot- Watt University. 2.Brianton, G., (1998), "Portfolio optimization " Risk Management and Financial Derivatives: A Guide to the Mathematics, 1st edition, Palgrave(trade). 3.Black, F., and Litterman, (1991), "Asset allocation :Combing Investors View with Market Equilbrium", Journal of Fixed Income, September. 4.Boyle, P.P., and Yang, H., (1997), "Asset allocation with time variation in expected returns." Insurance mathematics and Economics, Vol. 21 Iss.3, p201-218. 5.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. 6.Brennan, M.J., and Schwartz, E.S., and Lagnado, R., (1997), "Strategic asset allocation." Journal of Economic Dynamics and Control, 21, p1377-1403. 7.Carter, J., (1991), "The derivation and application of an Australian stochastic investment model" Transactions of the Institute of Actuaries of Australia, I, p315-428. 8.Chang, S.C., (1999), "Optimal Pension Funding Through Dynamic Simulations: the Case of Taiwan Public Employees Retirement System." Insurance: Mathematics and Economics, 24, 187-199. 9.Chopra, V.K., and Ziemba, W.T., (1993), "The effect of errors in Means ,Variances and Covariances on Optimal portfolio Choice" Journal of Portfolio Management, Vol. 19, Iss. 2, p6- 12. 10.Donohue, C., and Yip, K., (2003), "Optimal portfolio rebalancing with transaction costs" Journal of Portfolio Management, Vol. 29, Iss. 4, p49-92. 11.Edesess, Michael, and Hambrecht, George A., (1980), "Scenario Forecasting: Necessity, Not Choice ", Journal of Portfolio Management, Vol. 6, Iss. 3, p10. 12.Farrell, James L., Jr. (1989), "A Fundamental Forecast Approach Superior AssetAllocation. " Financial Analysts Journal, Vol. 45, Iss. 3, p32-38. 13.Fong, H.G., and Fabozzi, F.J., (1988), "Asset Allocation Optimization Models" In Arnott, Robert D., Frnak J, Fabozzi,eds., Asset allocation :A Handbook of Portfolio Policies, Strategies & Tactics, Chicago: Probus. 14.Gerald W. Buetow Jr., and Ronald Sellers, and Donald Trotter, and Elaine Hunt, and Willie A. Whipple Jr., (2002), "The Benefits of Rebalancing." Journal of Portfolio Management, Vol. 28, Iss. 2, p23-32. 15.Hardy, M.R., (1993), "Stochastic simulation in life office solvency. " Journal of the Institute of Actuaries, (120):p131-152. 16.Haberman, S., and Sung, J.H., (1994), "Dynamic Approaches to Pension Funding" Insurance: Mathematics and Economics, 15, p151-162. 17.Haberman, S., and Vigna, E., (2002), "Optimal Investment Strategies and risk measures in defined contribution pension schemes." Insurance mathematics and Economics, 31, p35-69. 18.Hammer,D.A., (1991), "Dynamic Asset Allocation :Strategies for the Stock Bond, and Money Markets" John Wiley & Sons,Inc. 19.Hensel, C.R., and Ezra, D.D., and Ilkiw, J.H., (1991), "The Importance of the Asset Allocation Decision." Financial Analysts Journal, Vol. 47, Iss. 4, p65-72. 20.Huang, H.C., (2000), "Stochastic modeling and control of pension plans. " Ph.D. Thesis, Heriot-Watt University. 21.Wang, J.L., (2002), "The Impact of Employer Pension System on Retirement Income:the Analysis of the Revolutions in the United State and Taiwan." Insurance Issues and Practices, Vol. 1, p27-55. 22.Koskosidis, Y.A., and Duarte, A.M., (1997), "A Scenario- Based Approach to Active Asset Allocation." The Journal of Portfolio Management, Vol. 23 Iss. 2, p74-85. 23.Leibowitz, M.L., and Henriksson, R.D., (1988), "Portfolio Optimization Within a Surplus Framework." Financial Analysts Journal, Vol. 44 Iss. 2, p43-51. 24.Macdonald, A., (1994), "A Stochastic evaluation of solvency valuations for life officies. " PH.D. Thesis, Heriot-Watt University. 25.Markowitz, H.M., (1952), "Portfolio Selection". Journal of Finance, March, p77-91. 26.Plaxco, L.M., and Arnott, R.D., (2002), "Rebalancing a Global Policy Benchmark." Journal of Portfolio Management, Vol. 28 Iss. 2, p9-22. 27.Pollin, R., and Schaberg, M., and Baker, D., (2003), " Security Transactions Taxes for U.S. Financial Markets " Political Economy Research Institute, Eastern Economic Review, October 2003. 28.Sharpe, W. F., (1994), "The Sharpe Ratio." Journal of Portfolio Management, Vol. 21, Iss. 1, p49-59. 29.Tanaka, S., and Inui, K., (1995), "Modelling Japanese financial markets for pension ALM simulations" 5th AFIR colloquium, p563-584. 30.Tobin, James, (1996), "Prologue" The Tobin Tax:Coping with Financial Volatility, New York: Oxford University Press, ix – xviii. 31.Thomson, R.J., (1994), "A stochastic investment model for actuarial use in South Africa" Convention of the Actuarial Society of South Africa. 32.Venables, W.N., and Ripley, B.D., (2002), Modern Applied Statistics with S-Plus, 3rd edition, Springer, N.Y., N.Y. 33.Vigna, E., and Haberman, S., (2001), "Optimal Investment Strategy for defined contribution pension schemes." Insurance mathematics and Economics, 28, p233-262. 34.Williams, J.O., (1997), "Maximizing the Probability of Achieving Investment Goals" The Journal of Portfolio Management, Vol. 24, Iss. 1, p77-82. 35.Wilkie, A.D., (1986), "A Stochastic Investment Model for Actuarial Use." Transactions of the Faculty of Actuaries, 39, p341-403. 36.Wilkie, A.D., (1995), "More on a stochastic asset model for actuarial use." British Actuarial Jouranl, 1, p777-964. 37.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. 38.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. |