證券投資信託基金已是國人重要的理財主要工具之一。回顧我國證券投資信託基金發展的歷史，從早期為吸引外資投資我國而開放設立證券投資信託基金，接著也成為我國投資人重要之投資工具，到後來開放境外基金得以在國內顧問，境外商品就此開始深受國人喜愛；直至證券投資信託及顧問法通過，主管機關依授權訂定境外基金管理辦法後，國人得投資經由總代理人依法向主管機關申請核准或申報生效在我國境內募集銷售之境外基金，也開啟了境外基金與證券投資信託基金於國內銷售既競爭又合作之關係。 境外基金與證券投資信託基金於國內銷售之競爭合作的關係，不僅在產品創新及銷售金額等方面，本文所關切的是，在境外基金管理辦法公佈實施後，我國證券投資信託基金相關法規發生了什麼變化？有無任何規定是因為境外基金管理辦法實施後，證券投資信託基金相關法規不得不隨之調整者？還有，有無任何境外基金的規範進而影響我國既有之規定？當然，是否也有境外基金業者因為境外基金管理辦法的實施，必須調整其基金的運作與內控制度，以符合我國之法令規定？甚至，有無任何境外基金註冊地，為配合我國市場及法制環境，而更改其法令者？ 本文之研究係以比較我國證券投資信託基金相關規範，與境外基金管理辦法暨我國境外基金主要註冊地之法源，尋找彼此規範不同處，了解其為何規範不同的理由與背景，探討規範不同點之存在理由合理否，進而探詢彼此間之衡平性，以作為提供我國基金產業法律發展之參考資料。 最後結論除回覆前述問題並舉例說明外，並嘗試歸納本文之研究結果，對證券投資信託基金與境外基金之法制規範差異性比較，採見解扼要衡平重申外，並期對我國基金產業之整體發展提供建言。 / The securities investment trust fund is one of the important financial investment vehicles in Taiwan. Looking back on the history of Taiwan fund industry development, from the early days of fund launch to attract foreign investments to these modern days that funds become important investment tools for the investors. Soon later the offshore funds were open to the domestic consultants, they began to be a favored investment product for many investors. After the Securities Investment Trust and Consulting Act takes effect, the regulator prescribed the Regulations Governing Offshore Funds. The local investors may invest in the offshore funds that have obtained authorizations from the regulator, which contribute to not only the competition but also cooperation by and between the offshore funds and the securities investment trust funds in Taiwan. The competition/cooperation between the offshore funds and the securities investment trust funds can be seen at not only the product innovation or domestic sales. More importantly, this thesis concerns more on what are the regulatory initiatives that have been taken for the securities investment trust funds due to the promulgation of the Regulations Governing Offshore Funds. Are there any requirements of the securities investment trust funds that will need adjustments or amendments after the implementation of Regulations Governing Offshore Funds? Also, what are the impacts on the current rules and regulations after the birth of offshore fund regulations? Of course, will the offshore funds managers need to adjust their operation and internal control system to be in compliance with the laws and regulations in Taiwan? Will any offshore funds domicile jurisdiction change their respective laws in order to meet the requirements set fort by the market and legal environment in Taiwan? This thesis uses a comparative study of the related laws of the securities investment trust funds and the Regulations Governing Offshore Funds as well as the directives of UCITS, the original law of most of the offshore funds. To realize what is the specification of their difference and to explore the rationality of their difference. Moreover, to seek the balance of inquires among them, so as to contribute to the fund industry in Taiwan as the reference for legal development. Finally, the thesis tries to summarize the results of this study in addition to replying to the above questions with some examples. After the comparison of the legal systems between the related laws of securities investment trust funds and that of offshore funds, this thesis briefly reiterates the opinion of the balancing and provides concrete and workable suggestions to further the development of the fund industry in Taiwan.

共同基金在國內已經發展三十餘年，已成為國人一項重要的投資理財工具。唯傳統的基金設計係以「定期定額」的方式來操作，而本研究目的在於設計一套「不定期定額逢低投資」的操作方式，並證實該方式的投資績效係顯著優於傳統的基金操作。具體而言，本研究以2011年1月至2015年12月合計五年之基金每日淨值歷史資料，藉以比較定期定額與不定期定額(實際策略為當台股加權指數跌幅大於前一日1.25%即自動進行定額投資)分別在一年期、三年前、五年期以及金融海嘯期間(2008年)的績效表現。調查結果證實，不定期定額的績效均顯著優於定期定額的表現。本研究的結論可以提供投信產業設計新穎的共同基金，以提供投資人差異化的理財策略選擇。本研究相信，「不定期定額逢低投資組合」相當適合資金較充裕的積極型投資者。 / Mutual funds have been developed in Taiwan for more than 30 years and are now an important investment and financial tools for the people. Nonetheless the practice of traditional funds was designed through “dollar-cost averaging” and the study intends to design a practice of “value averaging bargain investment” to prove that the investment performance of the practice is significantly better than the traditional funds practice. Specifically, this study selected five years of NAV information from January 2011 to December 2015 to compare the performance of dollar cost averaging and value averaging (actual strategy was automatic fixed-amount investment when Taiwan Stock Exchange Capitalization Weighted Stock Index dropped 1.25% lower than previous day) based on strategic investment holding periods of one year, three years, five years and during the financial crisis (2008). The result proved that the performance of value averaging was significantly better than dollar cost averaging. The conclusion of this study could provide differentiated fiscal strategy for investment trust industry to design new mutual funds for investors. The study states that “the combination of value averaging and bargain investment” is more suitable for active investors with sufficient funds.

本文主旨在比較與檢證臺灣山地籍立法委員暨省議員在國會及省議會中其質詢提案之重點，並以「新時代基金會」之評量方式，統計出山地籍立委與省議員對議案重視的表現與程度。並從中比較其變遷與過程。 第一章緒論，說明本文之研究方法與範圍與研究目的，此外並將傳統九族之政治體制做一說明。第三節則就臺灣省山地籍省議員及增額山地立法委員之選舉方式、產生方式，作一說明。 第二章「山同籍立法委員之質詢提案與分析」，從七十六到七十八年間，該任出山地籍立委們在各類議案的質詢上依照分類，統計出發言的比例來，並據此分析山地籍立委發言的重點與較不重視的項目。 第三章「山地籍省議員之質詢提案與分析」，同第二章，取自七十五年到七十八年該任省議員對省府的質詢提案，並據上述資料歸類出其發言取向，並指出其表現是否有所偏廢。 第四章「山地籍立委與省議員問政內容比較與變遷」中將第二章、第三章的統計資料結果加以比對，比較其異同與特殊處，並就其變遷能有概括的說明。 第五章「結論」，這一部份僅就本論文所得，提出檢討與建議，並希望在討論中能有益於其他人相關之研究。

本文共一冊，約有四萬字，共分六章。主要內容為探討統計方法在團體定期壽險之適 用。 第一章緒論 對國內外已有之文獻探討、簡述團體定期壽險之特性與國內大致情形、 說明使用危險理論探究團體定期壽險的原因。 第二章損失額分配 係對團體定期壽險的損失次數與損失金額機率分配加以探，以得出損失總額分配，並 求得期望值與變異數。 第三章破產理論之簡介 為後二章求算各種策略下，保險經營安全度大小的基本概念 。 第四章再保險之應用 係討論團體定期壽險在運用再保險策略下，再保費之求算，保 險企業之安全與自留額之釐訂。 第五章期初可得基金 係關係在營業之初所擁有基金之多寡與各種再保安排，對營運 安全度之影響。 第六章結論 就危險理理與現實狀況配合之困難，國內鄉適用本的可行性，及其他未 在範圍內但有研價值之方法簡介。

近年來我國經濟快速成長，社會趨向於更為開放的環境，隨著國民所得上升，人民智 識水準提高，以及企業家體認社會責任的結果，對於保障經濟生活安全的需求日益迫 切。退休金方案即為提供退休後經濟生活保障之重要利器。政府為促進社會安全，乃 制定勞動基準法，對於勞工退休設有專章規定，以立法強制企業建立退休制度。 退休制 度是否健全，能否依照計劃順利實施，端賴企業之財力支應與調配，退休金方案之合 理安排、政府機關之嚴密監督，以及退休金制度觀念之確立與溝通，才能臻於完善。 本文之目的，係探討退休金方案之規劃與管理，並針對勞動基準去及相關法令加以檢 討，以期作為健全我國退休金制度之參考。 本文擬探討退金方案之規劃與基金之管理，主要內容分為：退休金方案設計決策、退 休基金提撥決策、退休基金管理運用決策等主題，並針對現行勞動基準法及相關法令 之疑義，提出個人見解。最後，根據以上之研討作成結論與建議。

近年來我國因發債數額增加及承接各項債務，致各年度債務還本數遽增且多寡不一，債務付息負擔亦隨之增加，除排擠一般政務支出外，亦造成世代負擔不公現象，亟需透過積極財務運作措施強化債務管理。另我國公債市場蓬勃發展，惟以往公債發行不規則，又未能定時、定額發行，產生交易籌碼供需失衡問題，且發行型式單一，無法因應資本市場發展需求，改革公債發行制度刻不容緩。 本研究發現，債務基金成立後，透過以「定率撥入法」由總預算撥入強制還本數，搭配「舉新還舊」運作方式，的確已發揮平滑政府債務還本，平衡代際負擔功能。惟目前強制還本編列方式較為不具彈性，如以法定最低額度編列，將使債務餘額降低速度減緩。而自九十一年度辦理舉借「舉低還高」業務後，截至九十三年三月底止，業舉借低率新債4,184億元償還高利率未到期借款，計節省債息111億元，成效卓著。惟對於高利率之公債，因發行時未訂有可贖回條款，且未編列收回溢價預算，故尚未辦理整理。另債務基金成立後，公債發行無須完全配合國庫調度需求，可依據規律化發行時程表定期適量發行並配合發行增額公債制度，已達到延長公債於市場活絡交易期間，成為市場利率指標之功能，對於建構我國市場殖利率曲線頗有助益。且於發行期程彈性化後，亦可研議發行分割公債、交換公債等新金融商品，將促進我國公債商品之多樣化。惟如財政狀況好轉，總預算發債需求減少，將影響定期適量制度推行。 對於如何強化債務基金運作效能，持續達成基金設置目標，本研究提出：積極與各界溝通俾利基金順利運作、總預算撥入強制還本彈性增加機制、編列溢價支出預算收回流通性不佳之高利率公債、研議發行可贖回公債、縮短借款年期及彈性規劃還本落點、合理調整公債規律發行時程計畫表、及持續研議公債發行種類創新等建議。

本研究運用的投資組合理論(Portfolio Theory)與免疫理論(Immunization Theory)建構資產負債管理模型，希望在於免除利率風險下，能夠極大化勞保基金的投資報酬率。本研究探討勞保老年給付年金制實行後，勞保基金在資產負債管理之下最適資產配置。我們以勞保局編印之「勞工保險統計年報」中勞保基金民國81年到91年實際投資的資料及勞保局委託研究之精算報告對於老年給付年金制實行後未來勞保基金的給付預測值，在不同年金選擇率以及不同的費率與控管年限下，根據勞保基金資產與負債的存續期間，建議勞保基金最適的投資組合，並計算資產負債管理成本，研究結果發現： 1 年金選擇率為100％及80%時，勞保費率提高至8.3%僅能確保未來30年與40年勞保基金不會因為利率變動而導致基金破產甚至無力清償，但考慮年限為50年時，國內市場無法找到存續期間可以配合的投資工具，無法規避利率風險。年金選擇率為50%時，由於未來各年之勞保的給付獲得舒緩，使得資產配置所需的存續期間也降低，故當勞保費率提高 至8%即可確保勞保基金未來50年可以規避利率風險的危機，且在國內市場上可以找到投資工具配合。 2. 要使勞保基金免於利率風險的考慮年限越長，其投資組合的重心應該從現行的銀行存款移轉到債券及股票與受益憑證。 3. 進行資產負債管理是需要成本的，若以資產負債管理前後效率前緣下的投資報酬率的差異為資產負債管理成本，在年金選擇率100%時資產負債管理平均成本為0.3695%；選擇率80%時平均成本為0.434%；年金選擇率為50%時資產負債管理平均成本為0.384%，研究結果顯示資產負債管理平均成本都低於0.5%以下，故建議勞保基金應盡早進行資產負債管理以因應老年給付年金化後利率風險對於勞保基金財務上的衝擊。 / This paper investigates the Asset-Liability Management for Labor Insurance Fund. We utilize Immunization Theory and Portfolio Theory selection model to immunize the surplus of Labor Insurance Funds against interest-rate fluctuations and to maximize expected return of Labor Insurance Funds simultaneously. In addition, we use the data from Labor Insurance Funds from 1992 to 2002 to demonstrate the implementation of our model. We calculate the optimal asset allocation and the ALM cost under different lump-sum/annuity selection ratio、time horizon and contribution rates. The empirical results from this study show that： 1. Assuming 100% and 80% participants choice annuity, to prevent the insolvency of Labor Insurance Fund from interest-rate fluctuations in 30 and 40 years, the Labor Insurance premium must increase to 8.3%. Assuming 50% participants choice annuity, to prevent the insolvency of Labor Insurance Fund from interest-rate fluctuations in 50 years, the Labor Insurance premium must increase to 8%. 2. To prolong the period over which the Labor Insurance Funds can immunize its surplus against interest-rate fluctuations, a large proportion of the investment asset should be allocate from bank deposit to bond and stock. 3. ALM needs cost. Assuming 100% participants choice annuity, the average ALM cost is 0.3695%.Assuming 80% participants choice annuity, the average ALM cost is 0.434%.Assuming 50% participants choice annuity, the average ALM cost is 0.384%. We find the average ALM cost is very small under any lump-sum/annuity selection ratio. Therefore, we suggest Bureau of Labor Insurance should start to implement ALM as soon as possible to avoid the affect of interest-rate fluctuations.

通常已建立的指數基金，經過一段時間後其追蹤指數的效能已經無法滿足初期建購時的要求，此時管理者便面臨指數基金投資組合的調整問題。本論文融合建構指數基金的方法及最小化交易成本的概念，提出一個新的混合整數線性規劃模型以調整指數基金投資組合。模型亦考慮實務中交易成本、最小交易單位及批量、固定交易費用比率、以及資產總類數等限制。因此，模型包含整數變數及二元變數，求解也較為困難許多。本論文以啟發式演算法增進求解的效率，並以台灣50指數的相關資料做為實證研究的對象。 / The efficiency of index-tracking in index fund, which has been built, has usually been incapable to meet the needs after a period of time. In this moment, the managers have to face with the problems of the adjusting for index fund portfolio. In this paper, we integrate the methods of constructing index fund and the concepts of minimum transaction cost with it, and propose a new mixed integer linear program model to adjust the index fund portfolio. Moreover, the model also considers some limitations, such as the transaction costs, minimum transaction units and lots, fixed proportional transaction rates, and cardinality constraint in practical operating. For this reason, a set of integer variables and binary variables are introduced. However, they increase the computational complexity in model solution. Due to the difficulty of the MILP problem, a heuristic algorithm has been developed for the solution. The computational results are presented by applying the model to the Taiwan 50 index.

對一些退休基金或是壽險基金來說，因為它們的金額都相當龐大，進而影響的層面也相當廣泛；它們影響著金融市場的發展、有價證券的價格和市場的報酬。 所以，對現今市場投資在這樣長期資產的投資策略而言，以下我們要討論的議題將是非常重要。 以前的退休基金管理計畫是建立在單期的假設當中。根據目前所持有所有資產的部位、目前市場的狀況與對未來報酬的期望，基金管理人將尋求對下期的最適投資決策。傳統的方法都是用期望值-變異數方式(Mean-Variance approach)去極大化投資的報酬，以求取最適部位。但是單期的期望值-變異數方式(Mean-Variance approach)面對了二個問題： 一、 集合各個單期最適決策用多期的眼光來看不一定是最適。 二、 單期最適決策並不能同時處理投資面與集資面的問題。例如：退休基金同時間有每月的收入與每月的投資面。 不像單期的投資方式，使用多期的投資方法比較能符合這樣的投資問題與要求，也比較具有合理性。 投資在長期資產的部位與報酬率，最容易受到利率變動的影響。換句話說，利率變化是影響投資在長期性資產的最大變因。因此，我們將討論的問題：在利率是隨機變動時，以Vasicek (1977)的利率模型為主，加入投資人風險偏好的共同基金的分配原則。這樣的理論下，我們將利用風險中立的方法求出最適的投資組合，以滿足在長期投資觀點下避險與套利的需求。其中投資人的風險偏好是以Merton (1973)提出的常數相關風險偏好(Constant Relative Risk Aversion；CRRA)的效用函數去討論；在文章最後，我們將針對投資人的風險偏好做一些討論，包括：改變CRRA的參數、自然對數的效用函數(Logarithmic utility function)。 以往的研究都採用動態程式設計(Dynamic programming approach)的方法來解決這樣多期投資的問題，但是這樣的方法運用的計算相當複雜，也不一定求的出最適部位解；而利用Cox and Huang (1989)提出的風險中立方法(Martingale approach)將完全的解決以上遇到的問題。 / In this study, we investigate the dynamic mutual fund separation theorem applied to portfolio management for constant relative risk averse investors where, in particular, the interest rate risks are incorporated. Within this economy, the real interest rates and stock prices are assumed to follow the Markovian processes whose drifts and diffusion parameters are driven by certain state variables. Our approach involves the use of the martingale methodology developed by Cox and Huang (1989) as proposed in the work of Deelstra et al. (2003). Following their framework, we consider the economy of the investors that consists of cash, bond fund and stock indices. Adding to the previous works, we investigate the obtained optimal strategies through numerical examples in order to be compared to the allocations of popular advice and clarify the hedge and arbitrage demands in financial decision from long-term perspective. Finally, certain mutual funds are constructed to validate the validity of the popular advice.

封閉型基金的掛牌買賣價格，與其投資標的淨資產價值（NAV, net asset value）間，總是存在一定程度的差距，且幾乎為10%~20%的折價現象，被視為財務學上的一種異常（anomaly）。早期研究學者們由經濟理性的角度解釋此種現象，認為是基金管理的績效表現、投資標的流動性或是稅制上的差異等等角度來解釋此一現象，但並沒有獲得一致的結論。 近期以來，有學者嘗試從行為財務學的角度，認為封閉型基金的折溢價現象及其幅度的變化，是由於投資人情緒（investor sentiment）的波動所造成。除了傳統的迴歸模式，更有不少學者以嚴謹的計量方式分析，例如財務時間序列的許多技巧。本研究即以時間序列之單根檢定（unit root test）、共整合現象檢定（co-integration test）及Granger因果關係檢定（Granger Causality test）等等方式，分析封閉型基金折溢價現象是否由投資人情緒所造成，及其兩者間是否有共整合現象。 雖然已有部分文獻探討類似議題，但跨國比較分析通常僅限於英、美兩國，且英、美兩國市場連動程度太高，可能影響分析結果的正確性；除此之外，樣本分析期間亦通常不超過十年。本研究以1991-2005年英國掛牌之封閉型基金為研究樣本，並包含投資標的為日本的封閉型基金，進行英國、日本之間的跨國性比較；不但有更足夠的樣本時間長度，亦能驗證是否不同跨國分析亦會有相同結論。 共整合現象檢定及Granger因果關係檢定大致支持行為財務學的角度。但英國、日本跨國比較的結果，似乎並不完全等同於前述英、美跨國比較的結果。建議後續可從掛牌國與投資標的區域連動程度較低的封閉型基金作為研究方向。 / The closed-end funds discounts have been an interesting phenomenon for a long period. Some theories based on economic rationale try to solve the puzzle but fail to get consistent conclusions. Recently some theories based on behavioral finance, such as the investor sentiment hypothesis, have been proposed to solve this puzzle. This study examines the investor sentiment hypothesis based on various time-series tests and finds some interesting results. Briefly, our conclusions are as follows: 1. The discounts can vary widely between funds and seem to be persistent in our sample period. 2. The local market indices are cointegrated with the domestic closed-end funds discounts and the information is flowed from the market to the closed-end funds, which support the investor sentiment hypothesis. 3. The causality relationship between the foreign closed-end funds and the local indices is not obvious. Based on this, the market segmentation hypothesis seems to hold in our sample, which indicates that investing in the foreign funds provide investors with the benefit of diversification. For future researches, we suggest that more the foreign funds should be included in the sample and the classification of the degree of investor sentiment and the categories of funds can also be improved.