臺灣博碩士論文加值系統

傳統的投資組合理論(Campbell, Koedijk and Kofman, 2002; Leibowitz, 1991; Lucas and Klaassen, 1998; Markowitz, 1952; Roy, 1952)，假設不同的投資工具，通常有不同的投資報酬率的預期及相對應的波動風險，投資者評估投資組合的風險，藉以有效地分散風險及建立投資組合。然而，在人口結構老化快速的普遍現象下，以平均人力資本探討其對個人理財投資的影響值得進一步深入研究。緣此，本研究參考Boscaljon(2004)所提出的模型，並進一步修正，加入投資組合與風險模型所求取預期報酬率與風險值，以台灣地區為例，實證研究人力資本對個人投資理財策略的影響。
本研究發現，藉由指數平滑法求得的標準差皆優於GARCH 模型所計算出來的值；最佳的投資組合呈現出Markowitz 所提出之效率前緣曲線的現象為債券80%、股票20%；本研究採用債券80%、股票20%的投資組合策略，以目前台灣的平均人力資本，可將儲蓄作理財投資，在退休時可以達到平均所需要的總財富目標，並不需要過度承受風險來進行冒險的投資。

The traditional portfolio theory (Campbell, Koedijk and Kofman, 2002; Leibowitz, 1991; Lucas and Klaassen, 1998; Markowitz, 1952; Roy, 1952) assumes that different investment tools usually have variable expected return on investment and corresponding wavy risk, and investor will valuate the risk of portfolio to decentralize risk and establish portfolio effectively. Under the circumstance for accelerated aging of population, it is worthy study further for the individual finances management and investment based on average human capital. This study builds upon the model proposed by Boscaljon (2004) and amends further, adding portfolio with expected return on investment and risk estimated from risk models, and take Taiwan area as an example to empirical study the influence for human capital to individual finances management & investment.
As developed in this study, by means of using standard deviation calculated by exponential smoothing is superior to the value calculated by GARCH model. The best portfolio consists of 80% of bonds and 20% of stocks as displayed by the appearance of efficient front edge curve illustrated by Markowitz. Using the combination along with the current average human capital in Taiwan, we propose citizens can utilize savings for finances management & investment and research personal financial goals upon retirement without participating investments that involve excessive risks.

一、緒論------------------------------------------------1
1.1研究背景與動機-----------------------------------1
1.2研究目的--------------------------------------------3
1.3研究流程與架構-----------------------------------5
二、文獻探討-------------------------------------------7
2.1人力資本的介紹------------------------------------7
2.2投資理財的定義與介紹--------------------------11
2.3風險的定義與介紹--------------------------------17
三、研究設計與方法----------------------------------22
3.1研究步驟---------------------------------------------23
3.2人力資本與資產配置的理論模型---------------25
3.3資產配置的評估------------------------------------30
3.4風險值的評估---------------------------------------32
四、實證分析--------------------------------------------36
4.1實證資料來源與統計分析-------------------------36
4.2GARCH 模型與指數平滑法之評估比較--------45
4.3人力資本與資產配置的理論模型探討----------48
五、結論與建議-----------------------------------------66
5.1研究結論----------------------------------------------66
5.2研究貢獻----------------------------------------------69
5.3研究限制----------------------------------------------71
5.4後續研究的建議-------------------------------------72
參考文獻---------------------------------------------------73

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