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研究生:田嘉蓉
研究生(外文):TIEN,CHIA-JUNG
論文名稱:不同評估績效期間之退休基金最適策略
論文名稱(外文):Optimal Strategy of Pension Fund Management Incorporating Distinct Projected Time Horizons
指導教授:張士傑張士傑引用關係
學位類別:碩士
校院名稱:國立政治大學
系所名稱:風險管理與保險學系
學門:商業及管理學門
學類:風險管理學類
論文種類:學術論文
論文出版年:2001
畢業學年度:89
語文別:中文
論文頁數:97
中文關鍵詞:最適提撥資產配置隨機控制評估測度
外文關鍵詞:stochastic controlasset liability managementasset allocationperformance measureoptimal contribution
相關次數:
  • 被引用被引用:6
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不同評估績效的長短顯著地影響基金的經營策略,相較於強調穩健經營的退休基金而言,此因素是否亦影響退休基金的運作,本研究嘗試應用隨機控制理論,將投資績效的時間因素納入決策考量,以隨機微分方程式描述退休基金資產和應計負債的動態隨機行為,以多期基金規劃的觀點,探討時間因素與最適策略之關連性。本研究應用Brennan、Schwartz與Lagnado(1997)的結果至負債導向的退休基金管理,建構多期資產負債管理模型,退休基金持有資產將分類為風險性的股票投資組合、長期債券和短期票券,並考量投資標的短期利率與長期利率之隨機性質,將基金提撥與資產配置視為可調節因子,給定風險評估測度,於不設定投資限制下計算各期最適投資比例及基金提撥;本研究並以私人退休金個案進行模擬分析,結果顯示此基金未來10年之最適提撥率介於4.2﹪與5.1﹪,就不同評估期限而言,5年評估期之提撥率於初期高於10年評估期,基金比率η=0.75之提撥率低於η=1;5年評估期之基金交易行為較10年期明顯劇烈,基金比率較低時,其交易變化程度較小,不同評估年限與基金比率將同時影響退休基金之最適提撥與投資策略。
Distinct time horizons in measuring investment performance significantly influence the financial planning for the money managers. In this study, we explore this issue concerning the pension fund management that has focused on the asset and liability management to meet its future obligations. A stochastic control model is formulated in a continuous-time framework to obtain the closed form solution for optimal strategy. The time variation in expected returns introduced in Brennan, Schwartz and Lagnado(1997)is adopted in obtaining the optimal strategy using plausible future plan’s normal costs and accrued liabilities under distinct time horizons. Based on the proposed performance measurement, the optimal funding schedule and portfolio selections are determined dynamically without trading restrictions.
A private pension scheme is selected and analyzed for numerical illustration. It shows that the optimal contribution rates are between 4.2﹪and 5.1﹪for this specific case. Comparing the funding schedules for distinct time horizons, we find that the contribution rates under 5-year period are higher than those under 10-year period in the beginning. The contribution rates given funding ratio at 75﹪are lower than those given at 100﹪. While the optimal trading behaviors of the pension fund managers for 5-year period are significant volatile than those for 10-year period. Their optimal trading behaviors have exhibited a reduced volatility under the lower funding ratios. The case study indicates that the distinct time horizon and the funding ratio play crucial roles in decision-making process for pension fund management.
第一章緒論………………………………………………1
1.1 研究背景與動機…………………………………… 1
1.2 研究範圍與目的………………………………………5
1.3 研究架構………………………………………… 7
第二章文獻回顧…………………………………………9
2.1 最適消費及最適投資問題……………………………10
2.2 退休基金管理之風險衡量……………………………12
2.3 退休基金之最適提撥和投資策略……………………18
第三章退休基金之最適動態策略……………………..22
3.1 隨機控制理論與投資組合保險………………………23
3.2 隨機控制理論之架構…………………………………28
3.3 退休基金最適動態策略之建構流程…………………31
第四章實證模擬分析……………………………………48
4.1 實證對象資料之基本假設……………………………48
4.2 負債面之精算估計及模擬程序………………………50
4.3 投資面及最適策略之模擬程序………………………62
4.4 實證結果分析…………………………………………66
第五章結論與建議………………………………………87
參考文獻…………………………………………………… 90
附錄
附錄一 員工在職機率表………………………………… 95
附錄二 歷年新進人員基本資料統計表………………… 97
一、中文部分
1. 白郁婷,退休基金運作意見調查─基金專業經理人部分,退休基金季刊,第二卷第一期,民90年。
2. 林丙輝,投資組合保險,華泰出版社,民84年初版。
3. 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。
4. 張士傑與陳絳珠,企業退休基金之多期最適提撥與資產配置,管理評論,民90年七月。
5.張士傑與鄭欣怡,公務人員退休撫卹基金之精算評價與長期財務檢視,退休基金季刊,第一卷第一期,民89年。
6. 陳炤良,俞明德,張傳章與張森林,正常提撥成本之估計-針對薪資相關,雇主提撥之確定給付退休金計劃,管理學報,第17卷第1期,民89年。
7. 陳登源,退撫基金投資哲學與運用概況,公務人員退休撫卹基金監理委員會編印,民87年。
8. 陳登源,退休基金制度設計與委託經營及共同基金市場關係之探討,退休基金季刊,第一卷第一期,民89年。
9. 陳絳珠,連續時間模型下退休基金最適策略之研究,國立政治大學風險管理與保險研究所碩士論文,民89年。
二、英文部分
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28. Mulvey, M. John and William T. Ziemba, (1998). “Asset and Liability Management Systems for Long-Term Investors: Discussion of the Issues.” Worldwide Asset and Liability Modeling, Cambridge.
29. O’Brien, T.V. (1986). “A stochastic-dynamic approach to pension funding.” Insurance:Mathematics and Economics 5, 141-146.
30. O’Brien, T.V. (1987). “A two-parameter family of pension contribution functions and stochastic optimization.” Insurance:Mathematics and Economics 6, 129-134.
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