政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/53891
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文筆數/總筆數 : 113392/144379 (79%)
造訪人次 : 51196103      線上人數 : 908
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜尋範圍 查詢小技巧：
  • 您可在西文檢索詞彙前後加上"雙引號"，以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋，建議至進階搜尋限定作者欄位，可獲得較完整資料
    •  進階搜尋


    請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/53891


    題名: 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)
    其他題名: Strategic Asset Allocation for Pension and Insurance Fund--- Dynamic Hedging through Learning Predictability
    作者: 張士傑
    貢獻者: 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
    關鍵詞: 退休;保險基金;資產配置
    日期: 2008
    上傳時間: 2012-10-22 15:44:35 (UTC+8)
    摘要: 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.
    關聯: 應用研究
    學術補助
    研究期間:9708~ 9807
    研究經費:980仟元
    資料類型: report
    顯示於類別:[風險管理與保險學系] 國科會研究計畫

    文件中的檔案:

    檔案 描述 大小格式瀏覽次數
    96-2416-H004-025-MY3(II).PDF78KbAdobe PDF2425檢視/開啟


    在政大典藏中所有的資料項目都受到原著作權保護.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回饋