English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113656/144643 (79%)
Visitors : 51719575      Online Users : 605
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/13055


    Title: 確定提撥制下退休基金之最適提撥率與最適資產配置
    Other Titles: Optimal Control of Defined-Contribution (DC) Pension Plan
    Authors: 黃泓智
    Huang,Hong-Chih
    Keywords: 確定提撥計畫;最適投資策略;交易成本
    defined-contribution plans;optimal investment strategy;transaction cost
    Date: 2007-06
    Issue Date: 2008-12-08 11:13:23 (UTC+8)
    Abstract: 確定提撥制已逐漸成為退休金制度的主流。在確定提撥制下之參與者所能獲得的退休金金額有高度不確定的風險，適當的投資策略在此制度下就顯得格外重要。本文中藉由模擬與最適化的方法，探討適合各種不同風險偏好的投資人之最適提撥率與最適投資策略，以期降低確定提撥制計畫參與者的退休金不足的風險。本文主要得到兩項結論：（一）整體投資的結果與實務上生命週期型態(Lifestyle)投資方式呈現類似的現象。（二）在加入交易成的因素後，我們發現當債券及股票收取交易成本時，原本投資在長債的部份減少，轉而投資在短債。當股票之交易成本變很高時，投資在股票的比重會些微下降，但不會有很大的影響。
    A shift from defined-benefit pension plan towards defined-contribution pension plan is currently popular around the world. Under DC plan, employers transfer the pension fund investment risk to the employees. No one knows if the DC plan will he able to provide a good pension benefit when the day of retirement arrives. Therefore, it is essential for the employees to choose optimal investment strategies during the accumulation phase so that they will have sufficient funds targeted in their retirement. In order to reduce the risk of individual DC member, we investigate the methodology of finding the optimal contribution rate and asset allocation to reach a certain target of the retirement replacement rate for different risk tolerant individual in this paper. We draw two conclusions from our investigations. First, the optimal investment strategy is very similar to the "lifestyle" investment strategy. Second, we find the influence of the transaction cost in the case of equity is very limited to the strategy of asset allocation. But, the influence of the transaction cost in the case of long-term bonds is more significant. We will switch the assets held in long-term bonds to short-term bonds.
    Relation: 台大管理論叢,17(2),91-106
    Data Type: article
    Appears in Collections:[風險管理與保險學系] 期刊論文

    Files in This Item:

    File Description SizeFormat
    91106.pdf5035KbAdobe PDF21062View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    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 ©   - Feedback