由於經濟體系中的”複雜性”使得標準財務理論的研究受到了侷限，有鑑於傳統財務理論對於厚尾現象等”stylized facts”並無法提出有效的解釋，近年來由物理學學者所發展出的”物理經濟學派”開始嘗試使用agent-based model(ABM)的電腦模擬技術來替代以常態隨機漫步理論作為資產變動路徑的假設；許多的實證研究都顯示：高頻率的集中交易市場之資產價格波動具有”scaling behavior”的現象，同時報酬率尾端的機率分配較常態分配所描述的更為極端；因此Mantegna認為報酬率應服從TLF分配。而由Neil Johnson所提出的grand canonical minority game(GCMG)可以在簡單的模型架構下有效地模擬出金融市場的特質，因而可以解釋標準財務理論之不足。 本論文為了檢視GCMG模型使否可以有效解釋台灣股票市場的特質，採用Mantegna演算法估計Levy分配之參數α，並比較其與集中交市場的真實價格分配是否一致，以此來檢測模型是否可以用來解釋台灣股票交易市場之性質。為了真實捕捉經濟個體之決策行為模式，本研究修改了GCMG中對於策略評價採線性的方式，取而代之的是採取諾貝爾獎得主Kanehman所提出的展望理論架構來捕捉真實投資人對於正負報酬會具有不同風險傾向的心理特質。由於MG模型具有”phase transiton”之特質，本論文對GCMG模型進行測試後發現市場波動度與記憶之間呈現嚴格負相關，其原因來自於GCMG對於投資人信心水準之假設。市場配適度分析則顯示GCMG在m=10時最為接近實際市場之α值，但仍有顯著的差異，顯示出模擬股價路徑較接近常態分配。而以展望理論修改評價函數後，雖然可以有效地使模擬股價路徑更為穩定，但仍無法改善GCMG模型的模擬股價路徑較實際市場變動更接近常態分配的缺點。很顯然地，模型架構過於簡化是造成此現象的可能原因；特別是台灣股票市場的制度性因素:散戶市場 以及漲跌幅限制等，都是造成模型配適度不高之原因。

目前台灣的所得稅法規定中小學以下的教師薪資所得免稅，政府為了達到量能課稅之公平原則，於是研擬提出教師取消免稅與加薪同步，即收多少稅就加多少薪資的策略，以讓教師在課稅前後的實質所得不變，藉以減少教師人員的反彈。本文的目的在於探討對中小學以下教師課稅又加薪的框架限制下，即政府在維持對教師課稅前後的教師淨所得不變，分析是否會讓中小學以下教師有逃漏稅的誘因，而使政府補貼教師薪資的美意喪失，而導致政府及全民的損失。因為政府要以加薪來彌補教師因課稅後所短少的所得，以順利進行取消免稅優惠措施之前，必須還要考量課稅又加薪後是否會因此而使財政收入不增反減。 　　本文研究發現，在預期效用理論下，若教師在舊制度的淨所得的效用滿足小於新制度逃漏稅的預期效用，則加薪又課稅的新制度實施下，教師就會因此而產生逃漏稅行為。此時，政府可藉由提高罰款倍率或查核率，以讓教師的逃漏稅減少。而在展望理論下，政府除了可藉由提高查核率外，還可使用提高扣繳金額的手段來減少教師逃漏稅的誘因；再者，政府若將處罰標的改為逃漏所得額，會比處罰標的為逃漏稅額更易減少教師逃漏稅的誘因；此外，扣除額的增加也會增加教師的依從。因此，本文認為政府在維持收支平衡下，想要以加薪來取消教師免稅的理想可能將無法達成，而且會造成比政策實施前更嚴重的稅收損失現象。更進一步地分析，除非，政府有能力在實施提高扣繳率、查核率或扣除額的補救措施的情況下，能確保不引起人民情緒上的反彈，如此才能有效降低教師的逃漏稅意願，否則，政府對於課稅又加薪的政策應再做評估。

We try to provide reasonable explanations for the equity premium puzzle by the mental account, prospect theory, disposition effect and hedonic editing. This study examine how do investor trade in relation to their holding portfolio gains and losses? The empirical evidence suggests that investor are more likely to segregated gains and integrated losses, in accordance with disposition effect and hedonic edition. In other words, investor are more likely to longer holding losing trade than winning trade, because selling at losing trades would cause great suffering. We find that investor tend to longer holding mixed gains than mixed big losses. In face of mixed big losses, they are relatively rational, inconsistent disposition effect. Our empirical find that highest wealth level‘s traders and experienced traders suffer loss, they are relatively rational.

本文討論退休金長期預期報酬率之設定。根據會計公報規定，公司之退休金長期預期報酬率必須符合其資產配置。但是在本文中我們發現資產配置並無法有效的反應公司的退休金長期預期報酬率，因此我們提出展望理論及盈餘管理兩種理論來解釋退休金長期預期報酬率之設定。我們發現經理人企圖透過改變退休金長期預期報酬率的假設來進行盈餘管理，同時退休金長期預期報酬率也會因為公司的風險態度而有所改變。 / Abstract: We try to find out the considerations for managers to set their assumptions of expected long term rate of return on pension plan assets (ROPA). First, we use the asset allocations of pension funds and historical returns to calculate the expected rate of return based on historical asset returns (EROPA). There is difference between ROPA are EROPA, suggests that asset allocations are not the only consideration when managers setting their ROPA assumption. Two theories are examined in this paper to explain such difference between ROPA and EROPA: earnings management and prospect theory. We use two models to test the earnings management, single accrual model and threshold model. We find that the intentions to smooth the reported income are the main incentives for managers to manipulation their ROPA. The incentive to do earnings management can partly explain the difference between ROPA and EROPA. However, in threshold model, we can not observe any evidence in our research. We also introduce prospect theory to examine the risk attitude. We find that managers’ risk attitude affect the setting of assumptions, too. We conclude prospect theory provides a good explanation of the difference between ROPA and EROPA.

Hedonic Editing is a theory of behavioral finance based on prospect theory, attempting to predict whether individuals would segregate or integrate multiple outcomes to achieve to highest perceived value. We test the theory by an actual market data in Taiwan Futures Exchange. If the hypothesis holds, we should observe that investors would integrate losses more frequently than gains and integrate smaller losses with larger gains rather than the other way around. However, results do not support the hypotheses totally. We further test the theory by different trader types. Results show that domestic individuals exhibit the strongest biases of hedonic editing, followed by domestic corporations, and foreign institutions.

機構投資者在現今全球的金融市場中佔有舉足輕重的地位，但是在財務理論的領域裡，他們卻是被極度忽略的一群。本文的第一個部分（見第二章）建構在傳統的期望效用理論之下，進而推導出機構投資者的最適動態資產配置模型。研究發現機構投資者的最適動態資產配置乃是由標竿避險元素與跨期-規模避險元素所共同組成。標竿避險元素述說了機構投資者跟隨標竿投資組合的現象，而跨期-規模避險元素除了為資產配置迷思提供了一個可能的解決之道外，更指出機構投資者會隨著所管理的資產增加而趨於保守。再者，近年來傳統的期望效用理論履遭學者們的質疑，許多實證結果均顯示展望理論更能貼切描述人們的行為模式。本文的第二個部分（見第三章）假設機構投資者的行為模式符合展望理論的公理與假說，進而推導出機構投資者的動態資產配置模型。研究發現當機構投資人處於獲利的狀態之下時，其最適動態資產配置和第二章所得到的結果完全相同，但是，當機構投資人處於損失的狀態下時，他會變得比較積極，持有的風險性資產會大於處於獲利狀態之下時所做的決策。雖然行為財務學已行之有年，但是大家對於損失趨避係數對資產配置所造成的影響所卻知極為有限，本文在此提供了一個參考的模型。本研究發現，損失趨避係數對動態資產配置的影響力會被風險趨避係數、個別投資人對機構投資者績效的敏感度以及機構投資者本身所收取的管理費所抵消掉。此外，近年來金融市場巨幅震盪的現象履見不鮮，本文的最後一個部份（見第四章）假設機構投資者的行為模式符合展望理論的公理與假說，進而在跳躍模式下推導出機構投資者的動態資產配置模型。研究發現在跳躍模式下機構投資者的最適動態資產配置乃是由標竿避險元素、跨期-規模避險元素與跳躍避險元素所共同組成。這個新的元素－「跳躍避險元素」，用以描述機構投資者在面對 跳躍模式所帶來的不同衝擊時所產生的不同回應。本研究發現即使面對相同的投資環境，機構投資者仍然會因為本身所處的狀態不同而有不一樣的投資決策，這個結果迥異於傳統的理論模型，是一個相當有趣且值得進一步研究的議題。此外，本研究還發現損失趨避係數在不同的狀況之下會分別發揮不同的影響力，對損失趨避係數在財務理論上的意義提供了另一個新的視野。 / Institutional investors do matter in financial market, but most of the studies on institutional investors have not determined holdings of different assets by institutional investors. Institutional investors who receive payments and deposits from their customers but they are also subject to withdrawals from them. Compared with individual investors, institutional investors do bear the extra risk that evokes from individual investors. Appling dynamic programming approach, we derive the optimal dynamic asset allocation of institutional investors. In chapter 2, we find that the optimal dynamic asset allocation of the institutional investor with exponential utility function contains two components: the benchmark hedge component and the intertemporal-size hedge component. The benchmark hedge component indicates that the institutional investor takes care of the volatility of benchmark portfolio. The intertemporal-size hedge component provides a possible solution to asset allocation puzzle and depicts that the position of risky assets held by the institutional investor is inversively proportional with its total net managed assets. In chapter 3, we take operating cost into account and find that the optimal dynamic asset allocation of the institutional investor with revised value function will hold more risky assets when she is facing losses, and the sensitivity of loss aversion to dynamic asset allocation strategy is inversively proportional with the absolute risk aversion coefficient, the sensitivity of flow to performance, and the management fee charged by the institutional investor. In chapter 4, we consider both the operating cost and the risk of a sudden large shock to security price into account and find that the optimal dynamic asset allocation of the institutional investor has a further component than that in chapter 3. The further component is labeled "jumps hedge component". Besides, the optimal dynamic asset allocation is divided into four situations that figure the institutional investor with different status quo will make different investment decision. It is a very surprisingly result. Furthermore, we find a very interesting phenomenon that the loss aversion coefficient plays different roles in different situations.

理性選擇理論是第二次世界大戰後國際關係研究一個主要的研究途徑，在當代國際關係理論的爭辯中扮演了概念釐清的角色，並且增進了對無政府狀態內涵與國際合作可能性的理解。國際安全研究中，理性選擇以嚇阻理論為主要研究議題，針對核武嚇阻、傳統武器嚇阻、流氓國家與恐怖份子嚇阻等重要議題，無論是理論建構或實證研究皆有豐富的研究成果。在1980年代，形式化(formal))的理性選擇作為一種國際關係研究途徑成為一時顯學，與傳統國際關係主要研究途徑如歷史分析、文化研究、政治心理學等並駕齊驅，甚或有超越之勢；直至1990年代末期，理性選擇面臨強烈的質疑，進而引發了批評者與辯護者對於理性假設與方法論的爭辯。值得注意的是，自1990年以來，認知科學中的「展望理論」開始跨足至國際關係研究，試圖從行為者如何處理與詮釋訊息的角度來解釋國際政治行為與結果，對理性選擇的假設作了些許修正與補充，兩者的在未來的結合將有助於國際關係研究的發展。

本文旨在研究我國銀行長期投資行為和短期投資行為是否會因其過去投資績效所影響，而有賭資效應、過度自信及心理帳戶假說所預期不理性之現象。另外，更進一步探究此三種心理偏誤對投資行為之影響，是否依銀行業務性質的不同而有所差異，因此，也將討論商業銀行和工業銀行之長、短期投資行為。使用1994至2007年的追蹤資料進行迴歸分析，其結果發現茲臚列於下。 1.在控制資金來源(負債)、資產獲利能力(資產報酬率和存放款利差)、股市榮枯以及過去持有的投資存量這些會影響銀行投資行為的因素後，發現前一季長期和短期投資績效愈好，當季銀行長期和短期投資行為就會承擔過多的風險而有賭資效應之現象；在投資績效分為利得和損失的設定下，銀行長期投資行為有賭資效應之傾向，而短期投資行為則否。再者，當銀行面對過去兩季長期投資績效皆為利得時，當季的長期投資風險態度更顯積極，因而銀行長期投資行為有過度自信的現象，而短期投資行為則否。最後，銀行在進行短期投資決策時，無法將前一季長期投資績效納入考量，表示銀行將短期投資視為一獨立帳戶，忽略長期投資的情況，不能綜觀全局，因此短期投資行為有心理帳戶所述現象，而長期投資行為則否。 2.為了釐清賭資效應、過度自信與心理帳戶這些心理偏誤對投資行為的影響，是否依銀行業務性質的不同而有所差異。因此，就銀行類別而言，本文發現商業銀行長、短期投資行為皆有賭資效應與心理帳戶偏誤；工業銀行長期投資行為有賭資效應及過度自信偏誤，短期行為則無任何心理偏誤。

Information goods pricing is an essential and emerging topic in the era of information economy. Myriad researchers have devoted considerable attention to developing and testing methods of information goods pricing. Nevertheless, in addition; there are still certain shortcomings as the challenges to be overcome. This study encompasses several unexplored concepts that have attracted research attention in other disciplines lately, such as collaborative prototyping, prospect theory, ERG theory, and maintenance from design, economic, psychological, and software engineering respectively. This study proposes a novel conceptual framework for information goods pricing and investigates the impact of three advantages: (1) provides collaborative process that could generate several prototypes via trial and error in pricing process, (2) deliberates the belief of consumer and producer by maximizing utility and profit, and (3) offers an appropriate service bundle by interacting with consumer and discovering the actual needs. Due to the unique cost structure and product characteristics of information goods, conventional pricing strategies are unfeasible, and a differential pricing strategy is crucial. Nevertheless, few models exist for pricing information goods in the e-service industry. This study proposes a novel collaborative pricing model in which customers are active participants in determining product prices and adopt prices and services that meet their changing needs. This study also shows that the collaborative pricing model generates an optimal bundle price at equilibrium with optimal profit and utility. Theoretical proofs and practical implications justify this pricing model, which is essential for future information goods pricing in information economy. Moreover, we apply iCare e-service delivery as an exemplar and scenario for our system. The objective of iCare is to provide quality e-services to the elderly people anywhere and anytime. The new pricing method will go beyond the current iCare e-service delivery process which furnishes personalized and collaborative bundles. iPrice system for pricing information goods fills the gap among previous literatures which only considers consumers or providers. Different from existing works, iPrice system is novel in integrating distinctively important concepts yielding more benefits to consumers and profits to more providers. Thus, iPrice also guides and provides a roadmap for information goods pricing for future research. / Information goods pricing is an essential and emerging topic in the era of information economy. Myriad researchers have devoted considerable attention to developing and testing methods of information goods pricing. Nevertheless, in addition; there are still certain shortcomings as the challenges to be overcome. This study encompasses several unexplored concepts that have attracted research attention in other disciplines lately, such as collaborative prototyping, prospect theory, ERG theory, and maintenance from design, economic, psychological, and software engineering respectively. This study proposes a novel conceptual framework for information goods pricing and investigates the impact of three advantages: (1) provides collaborative process that could generate several prototypes via trial and error in pricing process, (2) deliberates the belief of consumer and producer by maximizing utility and profit, and (3) offers an appropriate service bundle by interacting with consumer and discovering the actual needs. Due to the unique cost structure and product characteristics of information goods, conventional pricing strategies are unfeasible, and a differential pricing strategy is crucial. Nevertheless, few models exist for pricing information goods in the e-service industry. This study proposes a novel collaborative pricing model in which customers are active participants in determining product prices and adopt prices and services that meet their changing needs. This study also shows that the collaborative pricing model generates an optimal bundle price at equilibrium with optimal profit and utility. Theoretical proofs and practical implications justify this pricing model, which is essential for future information goods pricing in information economy. Moreover, we apply iCare e-service delivery as an exemplar and scenario for our system. The objective of iCare is to provide quality e-services to the elderly people anywhere and anytime. The new pricing method will go beyond the current iCare e-service delivery process which furnishes personalized and collaborative bundles. iPrice system for pricing information goods fills the gap among previous literatures which only considers consumers or providers. Different from existing works, iPrice system is novel in integrating distinctively important concepts yielding more benefits to consumers and profits to more providers. Thus, iPrice also guides and provides a roadmap for information goods pricing for future research.

When making financial planning, most people would allocate their assets into different accounts according to its usage, such as setting up education account and retirement account. It seems human nature to adopt segregated accounts for financial planning and it is argued that segregated accounts planning method serves the function of self-control. However, segregated accounts planning method violates standard finance theory that would suffer investment efficiency with unnecessary losses. This article focuses on analyzing financial planning methods of integrated account and segregated accounts in the point of view of behavioral finance. The finding is that integrated account planning method would not only help achieve financial efficiency but help people overcome psychological bias.