政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/67607

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/67607

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政大典藏 > College of Commerce > Department of Risk Management and Insurance > Theses > Item 140.119/67607

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/67607

Title:	保本型態投資組合之最適資產配置 Optimal Portfolio Management With Downside Risk Control
Authors:	劉柔妍 Liu, Jou Yen
Contributors:	張士傑鄭宗記劉柔妍 Liu, Jou Yen
Keywords:	保護下檔風險之最適投資策略 CPPI TIPP 委託契約
Date:	2013
Issue Date:	2014-07-21 15:39:24 (UTC+8)
Abstract:	2008年金融海嘯、2011歐債危機等，皆對台灣經濟產生嚴重的損失。壽險業經營關乎保戶之未來，應更加重視壽險業經營穩健性，故本研究期望找尋適當的保本投資策略，期望增加壽險業的投資選擇，提供穩定且合理的獲利。引用Cai et al. (2013)之保護下檔風險之最適投資策略模型，將資產配置視為無風險性資產與購買一個歐式買權，此歐式買權可藉由市場可交易之標的複製，最低績效標準為執行價(Strike Price)、距離到期日天數為買權到期日(Expiry Date)。本研究亦(1)比較不同利率市場下，保護下檔風險之最適投資策略、CPPI與TIPP之投資績效與保本效果；與(2)不同下檔風險容忍度、(3)不同風險權益市場下，經理人之投資決策與投資績效。本研究發現(1)保護下檔風險之最適投資策略於高利率市場與一般利率市場下，彈性最高且整體獲利高、波動小；而TIPP因投資策略相當保守，於低利率市場下獲利及保本效果為三者最好。(2)當委託人改變契約，下檔風險容忍度降低時，經理人增加股票型基金部位，並拉長投資期間以提高績效。適當降低下檔風險容忍度，有助於使風險趨避經理人追逐風險。(3)面對環境快速變遷，探討不同風險權益市場對經理人績效之影響，發現於高風險權益資本市場下，面對績效壓力，將採用放空債券與增加股票部位並行的投資策略，造成財富波動大且績效降低。於低權益市場則是債券為主要標的，投資績效較為穩定。委託人可視不同狀況及早訂定委託契約，降低財富波動。
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Description:	碩士國立政治大學風險管理與保險研究所 101358029 102
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0101358029
Data Type:	thesis
Appears in Collections:	[Department of Risk Management and Insurance] Theses

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