政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/53891

政大典藏 > College of Commerce > Department of Risk Management and Insurance > NSC Projects > Item 140.119/53891

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/53891

Title:	退休與保險基金之策略性資產配置---預測學習效果下之動態避險(II)
Other Titles:	Strategic Asset Allocation for Pension and Insurance Fund--- Dynamic Hedging through Learning Predictability
Authors:	張士傑
Contributors:	國立政治大學風險管理與保險學系行政院國家科學委員會
Keywords:	退休;保險基金;資產配置
Date:	2008
Issue Date:	2012-10-22 15:44:35 (UTC+8)
Abstract:	本文於確定提撥退休金制度下，探討基金經理人如何決定最適資產策略規避薪資所得及通貨膨脹之不確定風險，同時考量績效制度(績效獎金與跌價懲罰機制)下，求得期末財富效用期望值極大化。本研究首先擴展Battocchio與Menoncin (2004)所建構之資產模型，其中不僅探討來自市場之風險，同時亦考量薪資所得、通貨膨脹與費用率之不確定性，研究其對最適資產配置行為的影響，建構隨機控制模型，以動態規劃方法求解Hamiltonian方程式，研究結果顯示，可利用共同基金分離定理來描述投資人之最適投資決策。依據數值結果顯示，本研究結果與Raghu et al. (2003)相符。 In this study, we investigate the portfolio selection problem incorporating incentive mechanism (i.e., bonus fees and downside penalty) into the defined contribution (DC) pension schemes. The framework in Battocchio and Menoncin (2004) is modified to incorporate the risks from the financial market and the background risks in describing the inflation rate and the labor income uncertainties through the stochastic processes. In order to scrutinize the general pattern of the fund dynamics under performance-oriented arrangement, a stochastic control problem is formulated. Then, the optimization scheme through dynamic programming is employed to solve the asset allocation problem. Finally, the numerical illustrations are shown and the results are summarized as following. When incentive mechanisms are incorporated, the settlement of delegated management contract is vital since the setup could affect the fund dynamics significantly. The result is consistent with the conclusion in Raghu et al. (2003). Based on our numerical results, it shows that the performance-oriented arrangements dominate the investment discretion in fund management. Hence an incentive program is required to be carefully implemented in order to balance the risk and reward in DC pension fund management.
Relation:	應用研究學術補助研究期間:9708~ 9807 研究經費:980仟元
Data Type:	report
Appears in Collections:	[Department of Risk Management and Insurance] NSC Projects

Files in This Item:

File	Description	Size	Format
96-2416-H004-025-MY3(II).PDF		78Kb	Adobe PDF2	425	View/Open

社群 sharing

Loading...