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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/49684


    Title: 退休基金之策略性資產配置
    Asset allocation of optimal strategy in pension management
    Authors: 楊凱勛
    Contributors: 張士傑
    楊凱勛
    Keywords: 動態規劃
    提撥政策
    資產配置
    最適策略
    Date: 2009
    Issue Date: 2010-12-08 16:41:09 (UTC+8)
    Abstract: 本研究討論以負債導向之退休基金的資產配置模型，並以股票型風險性資產為主要配置標的。隨機控制模型在推導過程中相當繁瑣，經常得不到封閉解，本研究之優點為，實際導出多項資產標的下之一般化封閉解，可進行財務經濟推論，直接得到不同參數對基金之影響，輔以台灣公務人員退撫基金第4次精算報告，為實證研究對象，接著加入投資限制之情境分析與模擬，得到結論。最適提撥隨著正常成本及給付上升而提高，若退休基金於當期有殘餘基金，則可因由投資獲利而少提撥部分資金。回饋函數之最適解同時權衡反應未來之精算正常成本與當期給付，正常成本上升而增加風險性投資，而因當期給付上升而減少風險投資趨於保守。若股票市場報酬率大於利率，投資者將增加股票之比例，以增加投資效果，投資者將對市場股票型資產同時做多空操作，進行避險。反之，隨著短期利率上升後，投資於股票部位將會漸漸移入現金持有，減少股票型風險性資產佔總資產之比例。
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    公務人員退休撫卹基金第4次精算報告
    Description: 碩士
    國立政治大學
    風險管理與保險研究所
    97358024
    98
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0097358024
    Data Type: thesis
    Appears in Collections:[Department of Risk Management and Insurance] Theses

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