政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/53860

政大典藏 > College of Commerce > Department of Risk Management and Insurance > NSC Projects > Item 140.119/53860

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Title:	考量風險趨避態度及避險條件之退休基金管理:應用隨機控制與平賭理論
Other Titles:	Risk-Aversion Attitudes and Hedging Criterions in Pension Fund Management: Using Stochastic Control and Martingale Approaches
Authors:	張士傑
Contributors:	政治大學風險管理與保險系行政院國家科學委員會
Keywords:	平賭過程;擬似動態規劃;定值相對風險規避;動態完備市場 martingale;quasi-dynamic programming;CRRA;dynamic complete
Date:	2002
Issue Date:	2012-10-22 15:43:40 (UTC+8)
Abstract:	最適跨期投資策略是近代財務文獻所探討的重要議題，Merton (1969, 1971)首先建構回饋控制模型描述多期財務決策過程，利用動態規劃方法分析最適策略之套利與避險行為，但是考量投資限制及資產時間變動因素時，將大幅增加求解之複雜度。本研究回顧Sorensen(1999)之逼近模型，以平賭過程描述基金財富之未來價值，嘗試納入不同投資限制、風險偏好與市場風險之考量，以單期擬似動態規劃擬定最適策略，利用定值相對風險規避效用函數描述投資管理人之風險程度，於動態完備市場假設，以到期最適效用為目標檢視動態最適資產配置。歸納數值結果顯示，(1)風險規避程度增加時，投資於風險性資產之比例將下降，長年期債券之比例將增加；(2)無投資限制時，經理人可藉由幾項標的達成最適化資產配置，給定投資限制條件，資產配置無法完全反應套利與避險效果；(3)股票收益波動度增加，投資者將減少股票比例，增加投資債券市場以降低風險，並增加短年期債券之比例與降低長年期債券比例；(4)利率風險變大，投資於股票比例將些微增加，債券投資比例將稍許下降，而長短年期債券持有比例無明顯改變。 This optimal investment strategy of the long term fund managers is one of the crucial issues discussed in modern financial literatures. Merton (1969, 1971) initially explores the financial decision process by constructing the feedback control mechanism. The explicit solutions using dynamic programming are employed to analyze the arbitraging and hedging behaviors within the process. Unfortunately, this kind of approach becomes complicated when the investment constraints and dynamic pattern of the opportunity set are incorporated into the model. In this study, the quasi-dynamic approach proposed in Sorensen (1999) is explicitly reviewed in analyzing the optimal investment behaviors. Constant relative risk aversion utility function is adopted to depict the risk preference of the investors within his investment time horizon. The optimal strategy is examined by maximizing the indirect utility function through the optimal growth portfolio. The results show that (1) the holding of the risky assets decreases and the long term bonds increase when the risk aversion attitude of the manager increases; (2) without investment restrictions, the manager could obtain his optimal portfolio by selecting fewer assets, while such strategy can not be achieved given investment constraints; (3) the manager will decrease the stock and the long-term bond holding and increase the short-term bonds when the volatility of the stocks increases; (4) the manager will increase the stock and decrease the bond holding when the interest rate risks increase. There is no significant difference in the short-term and long-term bond holdings.
Relation:	應用研究學術補助研究期間:9108 ~ 9207 研究經費:636仟元
Data Type:	report
Appears in Collections:	[Department of Risk Management and Insurance] NSC Projects

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