淡江大學機構典藏:Item 987654321/24531
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    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/24531


    Title: 確定給付制退休基金的最適資產配置
    Other Titles: Optimal Investment Strategy for Defined Benefit Pension Schemes
    Authors: 繆震宇;Miao, Jerry C. Y.
    Contributors: 淡江大學保險學系
    Keywords: 動態規劃;確定給付制退休基金;資產配置;Defined benefit pension scheme;Dynamic programming;Asset allocation
    Date: 2003-02
    Issue Date: 2009-11-30 18:25:58 (UTC+8)
    Publisher: 中華民國管理科學學會
    Abstract: 本文以隨機動態規劃探討確定給付制退休基金的最適資產配置決策，並以台灣公務人員退撫基金維模擬對象，說明模型中各項條件變動對於最適資產配置的影響。模擬之主要結論有：(一)高風險資產投資報酬率大於一定水準時，最適資產配置會隨著報酬率增加而趨於保守，(二)高風險資產的風險越高會使的其配置比例在長期趨於保守，(三)資產報酬的相關係數與資產配置之間的關係不明確，(四)攤提期數愈短，最適資產配置會愈保守，(五)基金積儲率愈低，最適資產配置會愈積極，(六)愈重視短期風險，初期投資決策會愈保守，(七)目標積儲率愈高，最適資產配置會愈積極
    Relation: 管理學報 20(1)，頁 177-199
    Appears in Collections:[Graduate Institute & Department of Insurance Insurance] Journal Article

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