本研究之目的是試圖將關稅同盟之理論與中間財之理論結合在一起，探討在中間財貿 易之情況下，組成關稅同盟對一國福利水準的影響如何。 除了第一章為序論，說明研究之動機，和最後一章為結論外，共分三大部份，第一部 份是有關文獻的探討，從Jacob Viner 在一九五Ｏ年提供出關稅同盟之理論後，到最 近設定直接效用函數、間接效用函數討論三財 ｎ財之情況。 第二、三部份則是根據Eden S, H. Yu 之方法稍加變更，分別探討純粹中間財，即中間財只用作投入生產最終財，與關稅同 盟之效果；和產業間流通（interindustry flow），即中間財不祇作為投入之用，且 用於最終消費時，組成關稅同盟對該國福利的影響。 #1028837p.abs #1028837p.abs

本論文主要是發掘變異數在Two-armed Bandit問題中的影響。在文中我們假設兩種治療法的成功率分別是θ1和θ2，且以π1~Beta(cα,cβ)和π2~Beta(α,β)為其驗前機率分配。此外，我們假設所有病人數(N)已知。 我們證明了當N=2、3，變異因子(c)>1時，最佳的策略是k1*=0，也就是說，我們不應在成功率的變異數較小的治療法上做試驗。這個結果和One-armed Bandit問題(c=∞)的結論是一樣的。但是，當N=10、12的例子中，我們發現k1*=0就並非是最佳的策略。 當α=β時，我們證明了效用函數是c的遞減函數。也就是說，其中一個治療法的變異越小，效用亦越小。當α=β=c=1時，最佳的策略是k^*=k_2^*≈√(1+N)-1。此外，我們也證明了效用函數是c的連續函數。 / The focus of the report is to find the influence of variance in Two-armed Bandit problems. In this report, we consider the case when the success probabilities of the two treatmentsθ1,θ2 haveπ1~Beta(cα,cβ) andπ2~Beta(α,β) as their priors, and the total number of patients, N is known. We showed that for N=2 and 3 the optimal strategy is k1*=0 if variance factor, c>1. That is, we should not make trials on the treatment which variance is smaller. But when N=10 and 12, we showed that k1*=0 is not optimal. When α=β we showed that the utility function is a decreasing function of the c. That is, the smaller variance of a treatment is the smaller utility will be. We have found that k^*=k_2^*≈√(1+N)-1 whenα=β=c=1. Besides, we also have the continuity of utility function in c.

本研究以2006年至2015年4月30日台灣股票市場所有上市櫃股票為樣本，首先利用每季公布之財務報表，以市值、股票月週轉率、每股盈餘、股東權益報酬率、本益比等六項指標作為第一階段篩選股票之準則。接著進行第二階段之股票篩選，先透過ASKSR篩選出現最好之兩倍投資組合數的股票後，再透過計算其技術指標總分篩選出符合投資組合數的股票。選好股票後再由多元Gaussian Copula-GARCH(1,1)-t與元Gaussian Copula-GJR(1,1)-t模型進行估計並以蒙地卡羅法模擬，藉由CRRA效用函數、mean-variance效用函數、Sharpe ratio、CARA效用函數最適化權重來投資。樣本期間內採Rolling window方式不斷調整投資組合直到結束。 　　本論文欲探討結合財務資訊指標、股票評分指標與技術指標去選股，並嘗試比較以多元Gaussian-Copula-GARCH(1,1)-t資產模型與多元Gaussian-Copula-GJR(1,1)-t資產模型進行資產配置之效果，希望達到穩健獲利的效果。

本文為一採行浮動匯率的小型開放經濟體系，在完全預期的預期模式下，我們設立一代表性個人最適化的通貨替代模型。我們採用的模型是以Liviatan (1981)貨幣進入效用函數的模型為基礎，納入Fisher (1983)視實質貨幣為可節省如勞動、資本等其它生產要素的一種投入要素，而將實質貨幣直接引入生產函數之概念，設立一最適化模型。藉以分析當本國貨幣成長率增加時，對外國貨幣名目存量、本國貨幣實質餘額、實質匯率水準等經濟變數的長期均衡與動態調整行為所產生的影響。本文得到不同於Liviatan (1981)的結果，即長期實質匯率水準會上升，而短期實質匯率水準，則有調整不足、錯向跳動和調整過度等現象。

我們以公平頻寬配置考慮網路上多重等級與多重服務品質的效用函數， 利用權重效用函數提出兩種數學最佳化模型。 這兩個模型的目標都是要尋找權重效用函數總和值的最大值。 本篇論文特別以權重為決策變數， 研究最佳權重的行為模式， 並求得最佳權重分佈公式。 我們發現模型I的總權重效用只看重某個效用值最大的等級， 完全忽略其他效用值較小的等級； 即最大效用函數的最佳權重為1，其他效用較小的最佳權重為0。 在最佳化過程中， 模型II的數值資料呈現出最佳權重架構為：最佳權重中的每個權重均相等，且總和為1。 我們隨後證明這些結果，並利用GAMS軟體來呈現數值資料。 / We propose two mathematical models with weighted utility functions for the fair bandwidth allocation and QoS routing in communication networks which offer multiple services for several classes of users. The formulation and numerical experiments are carried out in a general utility-maximizing framework. In this work, instead of being fixed, the weight for each utility function is taken as a free variable. The objective of this thesis is to find the structure of optimal weights that maximize the weighted sum of utilities of the bandwidth allocation for each class. We solve it by proposing two models in terms of fairness. Model I and II are constructed to compare different choices for optimal weights. For Model I, the structure of optimal weights form a vector which consists of one for a class and zero otherwise. For Model II, the form of optimal weights is that each weight of utility function is equally assigned. The results are proved and illustrated by software GAMS numerically.

本研究分析消費者如何在不同的社群網路間作出選擇，當用戶使用社群網站的同時，產生與朋友互相連結、分享資訊、聯絡感情等正面網路外部性，且此外部性隨著社群網站的功能越強大、隱私設定越開放而大幅增加，使用戶使用越開放的平台產生的效用越高。 但此現象同時帶給使用者相對程度的威脅：越開放的平台越無法對隱私權進行有效控制，換言之，越開放的平台越 「不願意」 對隱私權進行規範。隨著新興社群網站漸趨開放，用戶一方面享受朋友高度連結產生的正面效用，另一方面承受失去個人隱私權帶來的負面效用。且當重大侵犯隱私權事件發生，此正面外部性將如同雙面刃般轉化為傷害用戶的利器，其高度的好友連結度反而用戶間無一倖免產生強烈的效用損失。 傳統社群網路不必然會被開放性的新興社群網路所取代，因此本論文分析了純粹社群均衡、雙重均衡與社群優勢均衡的情形等多種社群網路均衡型態。 / This thesis analyzes social network asoption by consumers. The linkage with friends is nodeled as positive network effect. That is , the higher the amount of friends a user connects on a social network site, the higher the extra benefits she derives other than the direct ututility via usage. On the other hand, as new social network sites demonstrate: openness inproves connecting potential but gives way to privacy cncern.A privacy breaching event will rattle the socialty connected group to a drastic degree. Throung the interaction of both the positive and the negative network effects, we find that many types of social network equilibrium can be sustained.

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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。

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.