第一章緒論，介紹俱樂部財理論發展背景，並且定義俱樂部的正確範疇。第二章基于 個人效用函數相同之假定，以個體的觀點，用數學及幾何模型來探討說明俱樂部財的 最適提供條件及會員條件。第三章放寬個人效用函數相同之假定，而以整體經濟的觀 點，來探討分析比較與前章各項條件之異同。第四章則探討現存有關文獻的一些具爭 論性的觀點；並且評介歧視性俱樂部（discriminatary club ）與多財貨俱樂部（m- lti-product club）之模型。第五章則利用遊戲理論的觀點，來檢討俱樂部內及俱樂 部之間的穩定性問題。第六章結論，總結本文的觀點，並且提示未來可能研究之方向 。 本文研究的動機乃在于，俱樂部理論已蔚為經濟、財政理論之重要一環。其研究方法 結合福利經濟學、公共財政、遊戲理論。其本身可提供地方公共財、政治軍事聯盟、 公共事業定價．．．等之研究基礎，因此乃撰此文，期有助學術界瞭解俱樂部理論之 內涵。

第一章緒論：本章分四節，表明研究動機與目的、研究範圍、研究方法與流程、基本 概念等。 第二章市價比較法之運用：本章分七節，運用市價比較法來查估基地價格，其程序為 搜集買賣實例、期日修正、求建物價格、求基地價格、標準化補正、區域因素與個別 因素之比較。 第三章土地殘餘法之運用：本章分四節，運用土地殘餘法來查估基地價格，其程序為 求大廈總收益及總費用、求大廈純收益、求土地純收益、求基地價格。 第四章樓層別效用比率與地價分配率：本章分六節，闡明樓層別效用比率的意義、算 定方法、影響因子與地價分配率之意義、性質、算定方法。 第五章設定地價持分：本章分三節，計算基地持分價值并設定地價持分，最後說明地 價持分的作用。 第六章結論：就各章所研討的主題作一摘要，並作一些建議。

以前企業間一頭熱且評論人均看好的電子市集，如今不是選擇合併就是被迫結束經營。有鑒於目前電子市集的商業模式有待改善之處包括：(1)僅以價格作為主要考量，與真實買賣情況不符。也讓賣方多限於價格戰，無法差異其產品，讓不只考慮價格的買方無法買到真正想要的商品。(2)一對多機制的不公平缺陷，使買賣雙方的其中一方缺乏參與意願，也無法彰顯市場機能。(3)忽略電子交易時買賣雙方對協商的需要。針對上述的論點，以及目前對多對多協商機制的研究缺乏。本研究的目標在於利用行動代理人(Mobile Agent)的技術來發展出多個買方對應多個賣方的多屬性合作性協商模式，多屬性協商使得賣方不用遭受價格戰的廝殺，可以差異化其產品，買方也可以買到更適合自己需求的產品。在解決協商問題上，利用限制滿足問題(Constraint Satisfaction Problem)和集合式提案(Grouping Proposal)來提出一組候選提案，供對方選擇，以確保協商結果一定會落在效率前緣，以及我方的退讓一定能造成對方效益的增加。本研究並提出「多對多的退讓策略」以適合多對多的協商環境，讓多頭進行的協商能夠互相影響，也就是利用與其他人的協商成果當作己方的協商籌碼。 並將此協商模式套用於電子市集的商業模式中，本研究參考交易所模式和雙向競標的多對多電子市集商業模式，加上多對多協商功能，來設計系統架構，並運用行動代理人的技術Aglet與java來開發一實作雛型系統，並應用於旅行社與上遊旅館業者間訂房的商務活動。最後並以模擬實驗來驗證所提出的多對多讓步策略是否能有效提高買賣雙方效用。

投資型商品連動於特定資產，保險人除了面臨原有的核保風險，更需承擔部分的財務風險。傳統保險商品的純保費價格等於其預期損失，而投資型商品的保險給付依據投資標的波動，保險人的預期損失不易估算，傳統精算的評價方法不完全適用於投資型商品。保證最低給付的給付結構使得投資型商品其有選擇權的特質，Brennan與Schwartz(1976)首先利用選擇權定價理論探討附有保證最低給付投資型商品之價值與避險策略，爾後亦有許多文獻以此方向加以著墨，但選擇權定價理論是基於市場為完全市場的假設，保險市場為不完全市場，以完全市場假設之理論評定保險商品之價值實不合理。本為假設保險人面臨的風險為核保風險及財務風險，財務市場為完全市場，保險人可以藉由市場上的各種金融商品建構避險組合規避財務風險；而預期死亡人數與實際死亡人數所產生的核保誤差，保險人無法利用避險組合完全地規避，因此保險市場為不完全市場。 在不完全市場中請求權的價值牽涉投資者主觀的風險偏好，不存在唯一的平賭測度，請求權的價格也不唯一，最適避險策略依請求權的價格調整，所以投資型保險商品的價格不再等於其公平價值，真正的成交價格應落於買賣價差之中。本文引用Mercurio(1996)的結果，利用二次效用函數，以極大化保險人期末財富之效用為目標，建構生存險的合理價格範圍。以二元樹模型描述股票的波動，分別模擬五年、十年及十五年投資型生存險之價差範圍，保險人的風險規避程度、保單期限以及保證金額的高低將影響商品價差範圍的大小。 關鍵字：不完全市場、效用函數，買賣價差、最適避險策略 / Investment-linked life (LIL) insurance policies integrate the attributes from the mutual fund by introducing the investment options to the policyholders and life insurance through the benefit payments shielding the unexpected events of the insured. Since the execution of the implied options depends on the policyholder's health status. Actuarial equivalent principal and non-arbitrage pricing theory are used in evaluating the prices for LIL insurance policies. Brennan and Schwartz (1976) initially employ the option pricing theory in examining the pricing and hedging strategy for LIL insurance policies with minimum guarantees. Most published literatures are focusing on this issue adopting the B-S methodology. Since the values of the LIL policies cannot be replicated uniquely through the self-financing strategies due to underwriting risks of the insurance market. Insurance market does not satisfy the completeness assumptions, Due to lack of a unique martingale measure under market incompleteness, the utility assumption of the policyholder is involved in the pricing issue. Insurance pricing must consider the risk attitude of the investors in the market. Hence the cost the LIL insurance policies are not necessarily equal to the fair market prices. The market value should fall within the range of the bid and ask prices. In this study, we follow the approach in Mercurio (1996) by adopting the quadratic utility function and compute the reasonable range of the prices based on maximizing the terminal health utility function. Binary tree method is used in modeling the asset dynamics. Then the numerical computations are performed using endowment LIL insurance policies with 5, 10 and 15 years of duration. Based on the results, we find that the risk attitude of the policyholder, the policy duration and minimum amounts of the guarantees significantly affect the bid-ask price spread of LIL insurance policies. Keywords: market incompleteness; utility function; bid-ask spread; optimal hedging strategy.

本研究探討長期投資人在面臨通貨膨脹風險時的最適投資決策。就長期投資者而言，諸如退休金規劃者等，通貨膨脹是無可避免卻又不易被數量化之風險，因為各國僅公布與之相關的消費者物價指數而沒有公布真實通貨膨脹數值，因此我們延伸Campbell和Viceira(2001)及Brennan和Xia(2002)的模型假設，以消費者物價指數的資訊來校正原先假定符合Vasicek模型之通貨膨脹動態過程。本研究之理論背景為：利用貝式過濾方法(Baysian Filtering Method)，將含有雜訊之消費者物價指數，透過後驗分配得出通貨膨脹動態過程。利用帄賭過程(Martingale Method)求解資產之公帄價格。再引進定值相對風險趨避(Constant Relative Risk Aversion，CRRA)的效用函數，求出最適投資組合下之期末累積財富、各期資產配置以及效用值。 / 本研究歸納數值結果如下： 一、投資期間越長，通貨膨脹學習效果越顯著。投資期間達25年以上時，有學習效果之累積財富為無學習效果時兩倍以上，25年為2.36倍；30年為2.18倍。此外，學習效果對投資人效用改善率於長期投資時也較顯著，投資10年效用改善率為35%，而投資30年則高達1289%，呈非線性成長。以上結果顯示：資產在市場上累積越久，受到通膨影響越明顯，更需要以學習方式動態調整資產配置進行通貨膨脹風險管理。 / 二、風險較趨避之投資人，CRRA參數值越大；於最適投資組合下之期末財富較少，因為風險較趨避投資人偏好低波動度資產組合。風險容忍度低之投資人較需要通貨膨脹之學習，否則效用減損過高，例如CRRA參數為1.5之投資人30年後效用減損65%，CRRA參數為4之投資人效用減損達96.5%。以上數據顯示：風險趨避投資人對風險關注程度較高，考慮學習效果時，較能根據目前通貨膨脹調整資產配置。 / This study examines the optimal portfolio selection incorporating inflation risk learning adjustments for a long-term investor. For long-term investors, it is inevitable to face the uncertainty of inflation. On the other hand, quantifying inflation risk needs more effort since the government announced the information on Consumer Price Index (CPI) rather than the real inflation rates. / In order to measure the inflation rate in planning the long-term investment strategies, we extend the works in Campbell and Viceira (2001) and Brennan and Xia (2002) to construct a stochastic process of the inflation rate. The prior distribution of inflation rate process, which is not directly observable, is assumed to follow the diffusion process. Based on the information of CPI, we then employ the optimal linear filtering equations to estimate the posterior distribution of the inflation rate process. Through these mechanisms, the inflation rate process is closer to reality by learning from CPI. We also construct the optimal portfolio strategy through a Martingale formulation based on the wealth constraints. The optimal portfolio strategies are given in closed-form solutions. / Furthermore, the importance of learning about inflation risk is summarized through the numerical results. (1) When the investment interval is longer, the learning effect becomes more significant. If the investment horizon is longer than 25 years, the wealth accumulation under learning will be twice more than that without learning effect, e.g., the wealth accumulation is approximately 2.36, 2.18 folds at the end of 25, 30 years. Utility increase under learning also become larger for long-term investor, e.g., the utility values will improve 35% after considering learning ability on inflation from 10-year interval, improve 1289% from 30 years. / (2)When the CRRA parameter increases, the investor have lower risk tolerance; and their wealth accumulation become less due to the lower volatility portfolio. A conservative investor requires more learning ability given the inflation, otherwise their utility value will be reduced, e.g., the utility values will be reduced 35% when CRRA=1.5 after 30 years’ investment, 96,5% when CRRA=4.

住宅市場因其內容包括各類住宅次市場，又因為實質住宅單位難以衡量，以及實證資料難以蒐集等原因，使得住宅需求分析較為複雜。 本研究主要在探討何種函數形式較適合使用於住宅需求模型，而該種函數形式必須能對實際的住宅需求變動情形充分說明，並非如一般住宅需求模型之建立忽略了函數形式與模型之間的關連性；以外本文對不同所得階層、不同區位對位宅需求是否有明顯的影響之課題作一深入探討。而值得注意的是，不論對不同所得或位於不同區位的住宅需求來說，利率對住宅消費性需求的影響並不顯著，有別於一般利率對住宅需求有明顯影響力的印象。 本研究共分為五章，摘要內容如下： 第一章：介紹本文的動機、目的，研究限制與架構，並界定本研究之研究對象為住宅消費性、有效需求。 第二章：針對發展較成熟的國外文獻作一回顧整理，藉以發現一般在研究住宅需求相關課題時可能遇到的問題；此外介紹建構本文之基礎理論。 第三章：在對國外文獻進行回顧之後，本研究尚對國內住宅需求模型作驗證分析，探討造成各模型差異甚大的原因；並特別針對住宅價格資料之課題作比較分析。 第四章：在以Stone-Geary 效用函數以及目的變數建立住宅需求模型之後，以台北市為實證範圍，進行縱斷面的迴歸分析，發現以Stone-Geary 效用函數建立的住宅需求模型，頗能說明台北市住宅需求的變動情形。 第五章：針對國內外文獻處理以及實證分析結果，提出本研究之結論建議與後續研究。

本研究探討長期信託基金（諸如退休基金，人壽保險公司等）之固定收益債券多期資產配置，利用時間可加性之效用函數描述投資者於投資期限時對財富大小之風險偏好程度，滿足基金之長期最適效益目標，為避免模型過於複雜，本文假設於動態完備市場中針對基金所持有之資產執行動態資產配置，建立財務動態調整機制以評量基金到期之獲利表現。為實際反應市場之風險程度，持有資產將利用隨機擴散過程表示，短期市場利率採用單因子Vasicek隨機模型表示，本文以給定金融市場之情境假設，說明不同到期日之債券為適當之獲利投資及避險工具，本研究之多期資產配置模型主要參考Cox與Huang (1989, 1991)與Sorensen (1999)，將未來財富過程利用平賭過程表示，給定不同投資限制條件、風險偏好程度與市場系統風險，以擬似動態規劃實際計算與比較每期之最適資產配置。 / This study attempts to investigate the hedging behavior through multi-period asset allocation strategy for the long-term fund manager, i.e., pension fund managers, life insurers, etc. Time additive utility function is employed to depict the risk preference of the investors during his investment time horizon. Based on their long-duration liabilities, assets held by the fund manager are employed in hedging and speculating under dynamic complete market assumption. To fully reflect the financial risks from the market, a risk management mechanism is implemented to monitor the long-term financial soundness. Short-term interest rate model proposed by Vasicek is employed to characterize the diffusion pattern of the invested assets. Current financial market information are incorporated and investigated to portray the hedging strategy through fixed income securities with various maturities. The quasi-dynamic approach proposed in Cox and Huang (1989, 1991) and Sorensen (1999) are implemented to construct the optimal asset allocation model. The optimal strategy is examined through maximizing the indirect utility function through the optimal growth portfolio. Finally, the hedging behaviors are compared and fully explored under various market scenarios.

蘇聯解體後，俄羅斯從計畫經濟走向市場導向經濟體，傳統上保障俄國公民完全就業的情況不在，經濟轉型造成大量失業人口。為防止失業帶來經濟社會的負面效應，政府通過俄羅斯聯邦居民就業法，並建立俄羅斯聯邦國家就業基金，逐步建立起就業安全制度。本文為深入了解俄國失業情況與就業安全制度，將探討俄國主要失業類型與因素，以及就業安全之發展與其對緩和失業的效用。其次，俄國一九九○年代的經濟轉型衰退與千禧年後穩定成長形成強烈對比，這直接影響失業、社會狀態、政府勞動市場政策、就業安全活動資金來源與執行效率。因此，內文對於此兩階段亦進行比較。研究發現，俄羅斯失業率與投資、消費有高度反向關係，也就是說轉型時期投資與消費皆明顯不足，連帶失業率上升。勞動市場政策則以維持與創造工作機會為目標，但實際上，國家就業基金作為就業安全活動的後盾，其資金較為缺乏，且多集中在失業給付，在創造與維持工作機會等就業積極政策方面並未能有良好成果。然2001年起撤銷國家就業基金，就業安全活動改由預算撥款後，資金來源較為穩定，至2008-2009年金融危機時期俄政府尚能投入額外預算以緩和失業。此外，千禧年後，投資與消費穩定增長，失業率下降，勞動市場政策除了延續就業促進的概念外，尚注重地區平衡發展、招募外國勞動力、培養專業幹部等多元議題。故整體而言，成功被勞動安置、參與職業訓練(職業教育)，以及接受失業救助的人數比例皆比轉型初期來得高，此表示俄羅斯經濟恢復成長後失業率下降外，就業安全活動成效也逐漸提高。 / Since the collapse of the Soviet Union in 1991, Russia had changed economic system from a planned economy to a market-oriented economy. Russia didn’t guarantee full-employment anymore like the period of Soviet Union. Economic transformation caused the massive unemployed population. In order to prevent unemployment to bring negative economic and social effects, Russian government made the Employment Act of the Russian Federation and built the National Employment Fund of Russian Federation. To understand deeply the Russian unemployment and employment security, this article will explore the types, the main factors of unemployment, development and effects of employment security. Second, it forms the striking contrast between economic decline in the 1990’s and stable growth after 2000. It directly impacts on unemployment, social status, labor market policies, source of funding and execution efficiency. Therefore, this report has two stages for this comparison. The research found that the Russian unemployment rate and the investment, the consumption have the negative relations. That is, investment and consumption during the transformation period were obviously insufficient, which resulted in high unemployment rate. The labor market policy’s goals were to maintain and create job opportunities, but in fact the National Employment Fund which supported employment security activities was the lack of funds, and most of the funds focused on unemployment benefits, therefore activities in creating and maintaining jobs couldn’t get good results. However, the National Employment Fund in 2001 was withdrawn, employment security activities were financed from the budget. The source of fund has become quite stable. In the recent financial crisis, the Russian government even could put into the extra budget to alleviate the unemployment pressure. In addition, after 2000, the unemployment rate has dropped because of steady growth in investment and consumption. Not only did the government continue to the concept of employment promotion, but it paid attention to balanced regional development, the recruitment of foreign labor and training of professional managers. In conclusion, after the economic recovery in Russia, the unemployment problems have gradually improved.

本文基本上承襲 Weil(1991)的分析架構，以貨幣在效用函數模型(money-in-the utility model)來分析通貨替代的問題，也就是研究在一個整合的經濟體中，兩種通貨可替代時，高成長率通貨與低成長率通貨彼此競爭流通市場所可能產生的結果。本文改採不連續時間的模型，並引用 Fukuda(1997)的分析，分別以期末實質貨幣餘額及期初實質貨幣餘額放入效用函數中，比較其結果的差異。我們發現期初貨幣模型之各組恆定均衡解(steady state equilibrium)均可能出現多重收斂路徑，如此一來，Weil(1991)所提出的「劣幣逐良幣」現象未必會成為通貨競爭的必然結果。 除此之外，我們以兩個特定的效用函數為例(log-linear, CRRA)，以求進一步了解 Weil(1991)結論的模型適應性(robustness)。我們發現在線性對數效用函數的推導下，期初、期末貨幣模型所得到的結果並沒有明顯的分別，但 CRRA 模型的結果則顯示，期初貨幣模型的結論不同於 Weil(1991)。 / The study issues and analytical framework of this thesis follow Weil(1991). We apply the money-in-the-utility model (M.I.U. model) to analyze several issues in currency substitution. We want to investigate the monetary equilibria and their stability when there are two substitutable currencies in an integrated economy. Specifically, we want to know whether the faster growing currency will drive the slower growing ones out of the market, or vise versa. Unlike Weil(1991), we base our model on a discrete-time basis Following the study of Fukuda(1997), we use two different approaches to put the real money balances in the utility function. One is "end-of-the-period" M.I.U. model, and the other is "beginning-of-the-period" M.I.U. model. We make the comparison of the result of the two alternative approaches. Furthermore, we contrast our outcomes against those of Weil(1991). Besides the analysis based upon the general utility form, we also provide analysis of two specific utility functions. Except for the log-linear utility function, we find that there are significant differences between the two alternatives timing framework. The "beginning-of-the-period" M.I.U. model shows that "Gresham's Law" would not necessarily be the inevitable outcome of the economy with two perfectly substitutable currencies. Thus, it limits the validity of the conclusion of Weil(1991).

附最低保證投資型保險商品的特色在於無論投資者的投資績效好壞，保險金額皆享有一最低投資保證，過去關於此類商品的研究皆假設標的資產為單一資產，或依固定比例之投資組合，並沒有考慮到投資人自行配置投資組合的效果，但大部分市售商品中，投資人可以自行配置投資標，此情況之下，保險公司如何衡量適當的保證成本即為一相當重要之課題。 本研究假設投資人風險偏好服從冪次效用函數，並假設與保單所連結之投資標的有兩種資產，一為具有高風險高報酬的資產，另一為具有低風險低報酬之資產，在每個保單年度之初，投資人可以選擇配置在兩種資產之比例，我們運用黃迪揚(2009)所提出的動態規劃數值解之方法，計算出在考慮投資人自行配置資產之下，保證成本將會比固定比例之投資高出12個百分點。 此外，為了瞭解在不同資產報酬率的模型之下，保證成本是否會有不一樣的結論，除了對數常態模型之外，我們假設高風險資產與低風險資產服從ARIMA-GARCH(Autoregressive Integrated Moving Average-Generalized Autoregressive Conditional Heteroscedastic )模型，並得到較高的保證成本。 / The main characteristic of variable annuities (VA) with minimum benefits is that the benefit will be guaranteed. Previous literatures assume a specific underling asset return process when considering the guaranteed cost of VA; but they do not consider the portfolio choice opportunity of the policyholders. However, it is common for policyholders to rebalance his portfolio in many types of VA products. Therefore it’s important for insurance companies to apply an approximate method to measure the guaranteed cost. In this research, we assume that there are two potential assets in policyholders’ portfolio; one with high risk and high return and the other one with low risk and low return. The utility function of the policyholder is assumed to follow a power utility. We consider the asset allocation effect on the guaranteed cost for a VA with guaranteed minimum withdrawal benefits, finding that the guaranteed cost will increase 12% compared with a specific underling asset. The model effect of the asset return process is also examined by considering two different asset processes, the lognormal model and ARIMA-GARCH model. The solution of dynamic programming problem is solved by the numerical approach proposed by Huang (2009). Finally we get the conclusion which the guaranteed cost given by the ARIMA-GARCH model is greater than the lognormal model.