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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/38421


    Title: 退休需求分析與其投資策略之探討
    Authors: 賴昱岑
    Contributors: 黃泓智
    賴昱岑
    Keywords: 個人資產配置
    剩餘可用資金
    退休需求分析
    Date: 2008
    Issue Date: 2010-04-08 16:53:27 (UTC+8)
    Abstract: 本研究試討論個人退休需求，以分列出退休前及退休後面臨之各項費用的方式探討之。其中，退休金不足度預估有別於以往以所得替代率估計方式，而是依退休後希望之生活水準所列出之各項費用來估計退休金需求，計算出退休金不足度。之後再探討個人剩餘可用資金的資產配置，比較不同投資策略之結果。採用之投資策略包括買入持有投資策略 (Buy and Hold, BH)、固定混合法投資策略(Constant Mixture, CM)、以CM策略為基礎的新投資策略：在每階段可容忍之風險下，決定出該階段最大化投資報酬之投資比例，其中，以風險值(Value at Risk, VaR)為風險衡量值，希望以VaR為界的方式，找出類似於生命週期(Lifestyle)投資策略的投資方式，及時間不變性投資組合保險策略(Time-Invariant Protection Portfolio Insurance, TIPP)四種策略。投資標的為股票及債券兩種標的，利用隨機模型以蒙地卡羅模擬的方式建構投資標的之報酬率。
    Reference: 1. Battocchio, Paolo and Francesco Menoncin, 2004. “Optimal Pension Management in a Stochastic Framework.” Insurance: Mathematics and Economics, Vol. 34, p.79-95.
    2. Blake, David, Andrew J.G. Cairns and Kevin Dowd, 2001. “Pensionmetrics: Stochastic Pension Plan Design and Value-at-Risk during the Accumulation Phase.” Insurance: Mathematics and Economics, Vol. 29, p.187-215.
    3. Booth, Philip and Yakoub Yakoubov, 2000. “Investment policy for defined-contribution pension scheme members close to retirement: An analysis of the “lifestyle” concept.” North American Actuarial Journal, Vol. 4, p.1-19.
    4. Boulier, Jean-François, ShaoJuan Huang and Grégory Taillard, 2001. “Optimal Management under Stochastic Interest Rates: The Case of a Protected Defined Contribution Pension Fund.” Insurance: Mathematics and Economics, Vol. 28, p.173-189.
    5. Brinson, Gary P., Brian D. Singer and Gilbert L. Beebower, 1991. “Determinants of Portfolio Performance II: An Update”, Financial Analysts Journal, Vol. 47, No. 3, p.40-48.
    6. Consiglio, Andrea, Flavio Cocco and Stavros A. Zenios, 2007. “Scenario Optimization Asset and Liability Modelling for Individual Investors.” Annals of Operations Research, Vol. 152, No. 1, p.167-191.
    7. Estep, Tony and Mark Kritzman, 1988. “TIPP: Insurance without Complexity.” Journal of Portfolio Management, Vol. 14, No. 4, p.38-42.
    8. Holzmann, Robert, Richard Hinz, and Staff of the World Bank, 2005. Old-Age Income Support in the 21st Century. Washington, DC: World Bank.
    9. Markowitz, Harry M., 1991. “Individual versus Institutional Investing.” Financial Services Review, Vol. 1, No. 1, p.1-8.
    10. Plaxco, Lisa M. and Robert D. Arnott, 2002. “Rebalancing a Global Policy Benchmark.” Journal of Portfolio Management, Vol. 28, No. 2, p.9-22.
    11. World Bank, 1994. Averting the Old Age Crisis. New York: Oxford University Press.
    12. Ziemba, William T. and John M. Mulvey, 1998. Worldwide Asset and Liability Modeling. Cambridge, MA: Cambridge University Press.
    13. 王曉雲，2007年，「確定提撥制下之投資策略模擬分析」，國立政治大學風險管理與保險學系碩士論文。
    14. 台北金融研究發展基金會，2006年，「CFPTM認證系列課程III—員工福利與退休金規劃」，增修訂二版。
    Description: 碩士
    國立政治大學
    風險管理與保險研究所
    95358008
    97
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0095358008
    Data Type: thesis
    Appears in Collections:[Department of Risk Management and Insurance] Theses

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