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研究生:呂凡
研究生(外文):Fan Lu
論文名稱:台灣退休基金國際資產配置與匯率避險效果–以台灣勞退新制為例
論文名稱(外文):Taiwan Pension Global Asset Allocation and Exchange Rate Hedge Effect – Example of the Taiwan Labor Pension Fund (Defined Contribution Plan)
指導教授:邱顯比邱顯比引用關係
指導教授(外文):Shean-Bii Chiu
口試委員:胡星陽陳聖賢
口試委員(外文):Shing-yang HuSheng-Syan Chen
口試日期:2013-07-18
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:財務金融學研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2013
畢業學年度:101
語文別:中文
論文頁數:52
中文關鍵詞:退休金避險資產配置匯率風險
外文關鍵詞:Pension fundHedgingAsset allocationCurrency risk
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投資國際資產時會有匯率風險,本文使用不同的匯率避險策略,同時考量避險成本,研究最佳避險方式。本研究以台灣勞退新制退休基金的資產配置為參考,代入2007至2013年的數據。本研究結果,將勞退新制歷年資產配置比例代入五種避險策略的結果顯示,25% Hedge為優勢策略。以10 年未來預期報酬代入五種避險策略結果顯示,No Hedge也為優勢策略。希望此研究可以做為本國人投資外幣資產時需不需要避險之參考。

International investments involve currency exchange. Exchange rate uncertainty is a risk which affecting performance of international portfolios. In order to reduce this risk, we introduce five different currency hedge strategies (100%, 75%, 50%, 25% and 0% hedge) and consider hedge cost in our study. We try to find the most efficient currency hedge strategy for international portfolios and to give suggestions for Taiwan investors. In our study, we simplify the Taiwan Labor Pension Fund (DC Plan) asset allocation as our international portfolio. Select the time period from 2007 to 2013. We find that 25% hedge is the dominate strategy for existing asset allocations weight in the Taiwan Labor Pension Fund (DC Plan). By using 10 years forward looking return, we find that no hedge is the dominate strategy.

目錄
口試委員會審定書 #
誌謝 i
中文摘要 ii
ABSTRACT iii
目錄 iv
圖次 vi
表次 vii
第一節 緒論及文獻回顧 1
1.1 研究目的 1
1.2 國際資產配置及匯率避險策略文獻探討 1
1.3 台灣勞退新制基金現況介紹 7
1.4 美國與日本退休基金之資產分配 9
第二節 研究方法 12
2.1 研究架構 12
2.2 數據資料 13
2.3 研究方法 15
2.3.1 報酬率的計算 15
2.3.2 建置效率前緣 16
2.3.3 五種避險策略 18
2.3.4 十年未來預期報酬 19
第三節 實證結果 21
3.1 描述統計 21
3.2 歷年勞退新制投資組合資產分配比例與五種避險策略結果 26
3.3 十年未來預期報酬率及五種避險策略結果 33
第四節 結論 47
參考文獻 50


參考文獻
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