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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/83341


    Title: 連續時間模型下退休基金最適策略之研究
    Authors: 陳絳珠
    Contributors: 張士傑
    陳絳珠
    Keywords: 提撥政策
    資產配置
    評估測度
    動態規劃
    最適策略
    finding policy
    asset allocation
    risk measurement
    dynamic programming
    optimal strategy
    Date: 2000
    Issue Date: 2016-03-31 16:36:41 (UTC+8)
    Abstract: 本研究針對退休基金管理的兩項重要議題:提撥政策與資產配置作最適規劃之探討。由於傳統退休基金的評價僅考慮單一期間的離散時間模型,不若多期規劃的效率性,因此,本研究考量連續時間下,利用控制理論觀點,將提撥金額與資產配置視為可調節的因子,以風險最小化為最適定義,提供基金多期管理的有效方法。
    This study explores two critical issues in pension fund management: funding policy and asset allocation. The traditional valuation of pension fund is restricted in one-period setting under discrete-time framework, and it is not efficient comparing to the continuous-time models. Therefore, in this study, control theory is employed to obtain the optimal strategy based on a specific plan dynamics. Employer`s contributions and investment proportions are treated as the controllers in our model. Optimal solutions are obtained by minimizing the given risk performance in monitoring the multi-period fund management.
    Reference: 一、 中文部分
    林妙姍,確定提撥退休金計劃的應用與相關精算之研究,國立政治大學風險管理與保險研究所碩士論文,民87年。
    二、 英文部分
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    Description: 碩士
    國立政治大學
    風險管理與保險研究所
    Source URI: http://thesis.lib.nccu.edu.tw/record/#A2002002021
    Data Type: thesis
    Appears in Collections:[Department of Risk Management and Insurance] Theses

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