政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/49677

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/49677

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政大典藏 > College of Commerce > Department of Risk Management and Insurance > Theses > Item 140.119/49677

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/49677

Title:	退休需求與理財規劃實務之探討
Authors:	林鴻諭
Contributors:	黃泓智林鴻諭
Keywords:	退休規劃資產配置投資策略 retirement planning asset allocation investment strategy
Date:	2008
Issue Date:	2010-12-08 16:29:23 (UTC+8)
Abstract:	由於扶養比降低與平均餘命增加，退休理財規劃已被國人所重視。本研究首先介紹退休規劃的流程，依照世界銀行1994年所提出之退休所得三層架構，第一層為強制性社會安全制度的保障，第二層為退休金制度，以及第三層為自願性商業保險儲蓄制度。當退休前的自願儲蓄不足時，即可能產生退休不足度的問題，解決方式為設法提高退休所得；而影響退休所得有三個主要因素，其一為金額之多寡，其二為累積時間之長短，而最為個人能掌握的第三個重要因素為「投資報酬率」之高低，因此如何利用較佳的投資策略與報酬，減少退休所得不足的問題即為一種大課題。本研究主要的目的為考量風險因素後，分析各種投資策略的績效與檢視交易成本對其之影響，並且設法在有無限制風險程度下，找出最大報酬率的策略。分析結果發現固定比例混合法投資策略在各績效衡量指標下與加入交易成本考量皆有較佳的表現，且在限制風險找尋最大報酬的情形下也是如此；但如果是在沒有限制風險找尋最大報酬的情形，固定比例混合法投資策略在以尾端風險為考量之決策目標時，即非最好的策略。關鍵字：退休規劃、資產配置、投資策略
Reference:	1. André F. Perold and William F. Sharpe (1995), Dynamic Strategies for Asset Allocation, Financial Analysts Journal , Vol. 51, 149-160 2. Brian J. Jacobsen (2006), The Use of Downside Risk Measures in Tax-Efficient Portfolio Construction and Evaluation, The Journal of Wealth Management, Vol. 8, Iss. 4, 17 -27 3. Christopher Donohue and Kenneth Yip (2003),Optimal Portfolio Rebalancing with Transaction Costs, The Journal of Portfolio Management, Vol. 29, Iss. 4, 49-63 4. Cox, J.C., J. Ingersoll, and S. Ross (1985). A Theory of the Term Structure of Interest Rates, Econometrica, 53, 385-408. 5. Gordon J. Alexander, Alexandre M. Baptista (2003), Portfolio Performance Evaluation Using Value at Risk, Journal of Portfolio Management, Vol. 29, Iss. 4, 93-102 6. Kevin Dowd, A Value at Risk Approach to Risk-return Analysis (1999), Journal of portfolio management, Vol. 25, Iss. 4, 60-67 7. Paolo Battocchio and Francesco Menoncin (2004), Optimal Pension Management in A Stochastic Framework, Insurance :Mathematics and Economics, Vol. 34, Iss. 1, 79-95. 8. Roger G . Clarke , Harindra de Silva , and Robert Murdock (2005), A Factor Approach to Asset Allocation, The Journal of Portfolio Management, Vol. 32, Iss. 1, 10-21 9. Roger G. Clarke and Robert D. Arnott (1987), The Cost of Portfolio Insurance: Tradeoffs and Choices, Financial Analysts Journal, Nov/Dec, 35-47 10. Ulf Herold, Raimond Maurer, Michael Stamos, Huy Thanh (2007), Total Return Strategies for Multi-Asset Portfolios, Journal of Portfolio Management, Vol. 33, Iss. 2, 60-76 11. Elena Vigna and Steven Haberman (2001), Optimal Investment Strategy for Defined Contribution Pension Schemes, Insurance: Mathematics and Economics, Vol. 28, Iss. 2, 233-262. 12. William T Ziemba (2005), The Symmetric Downside-Risk Sharpe Ratio, Journal of Portfolio Management, Vol. 32, Iss. 1, 108-122
Description:	碩士國立政治大學風險管理與保險研究所 96358005 97
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0096358005
Data Type:	thesis
Appears in Collections:	[Department of Risk Management and Insurance] Theses

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