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退休基金之策略性資產配置 / Asset allocation of optimal strategy in pension management楊凱勛 Unknown Date (has links)
本研究討論以負債導向之退休基金的資產配置模型,並以股票型風險性資產為主要配置標的。隨機控制模型在推導過程中相當繁瑣,經常得不到封閉解,本研究之優點為,實際導出多項資產標的下之一般化封閉解,可進行財務經濟推論,直接得到不同參數對基金之影響,輔以台灣公務人員退撫基金第4次精算報告,為實證研究對象,接著加入投資限制之情境分析與模擬,得到結論。最適提撥隨著正常成本及給付上升而提高,若退休基金於當期有殘餘基金,則可因由投資獲利而少提撥部分資金。回饋函數之最適解同時權衡反應未來之精算正常成本與當期給付,正常成本上升而增加風險性投資,而因當期給付上升而減少風險投資趨於保守。若股票市場報酬率大於利率,投資者將增加股票之比例,以增加投資效果,投資者將對市場股票型資產同時做多空操作,進行避險。反之,隨著短期利率上升後,投資於股票部位將會漸漸移入現金持有,減少股票型風險性資產佔總資產之比例。
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連續時間模型下退休基金最適策略之研究陳絳珠 Unknown Date (has links)
本研究針對退休基金管理的兩項重要議題:提撥政策與資產配置作最適規劃之探討。由於傳統退休基金的評價僅考慮單一期間的離散時間模型,不若多期規劃的效率性,因此,本研究考量連續時間下,利用控制理論觀點,將提撥金額與資產配置視為可調節的因子,以風險最小化為最適定義,提供基金多期管理的有效方法。
首先,為充分反映退休基金管理時所面臨的不確定因素,本研究假設資產價值服從幾何布朗運動,並且經由隨機微分方程式描述退休基金所累積資產與應計負債的動態隨機性質。其次,考量基金管理所面臨的提撥風險與清償風險,給定能夠量化這些風險的評估測度,藉以監督退休基金於管理期間的經營績效,並且利用Bellman方程式求出最適的基金提撥與資產配置策略。
最後以勞動基準法規範下的企業退休金計劃為實證對象,透過動態模擬估計模型中之參數,並且利用數值方法求出所需的函數值,將控制理論與情境模擬連結,藉以檢視現行固定給付退休基金之最適策略。由實證結果可知,透過本研究的方法的確可以有效管理基金同時符合財務清償能力的要求。利用動態規劃所得的最適策略與給定的風險評估函數相關,因此,基金決策者可以依據基金的特性給定適當的風險評估函數,依照不同的投資期限擬定合適的基金策略。 / This study explores two critical issues in pension fund management: funding policy and asset allocation. The traditional valuation of pension fund is restricted in one-period setting under discrete-time framework, and it is not efficient comparing to the continuous-time models. Therefore, in this study, control theory is employed to obtain the optimal strategy based on a specific plan dynamics. Employer's contributions and investment proportions are treated as the controllers in our model. Optimal solutions are obtained by minimizing the given risk performance in monitoring the multi-period fund management.
First, the stochastic differential equations are constructed to describe the dynamics of the funding levels and the accrued liabilities. Geometric Brownian motions are used to model the assets held by the fund manager. Secondly, a stochastic control model with given risk measurement is formulated in a continuous-time framework to investigate the optimal decisions. In our approach, the plan's normal costs and accrued liabilities are simulated through plausible scenarios while the optimal contribution and asset allocation are solved through Bellman equation.
At last, a specific pension scheme under the regulation of the Taiwan labor standards law is studied for numerical illustrations. A monitoring mechanism linking plausible scenarios and the closed-form solutions are employed to scrutinize the funding policy and asset allocation. The optimal strategies are estimated through dynamic programming under realistic workforce scenario. According to the result, it shows that the methodology in this study can assist the fund manager in obtaining the plan's financial soundness. Meanwhile, the optimal strategy can fully incorporate the given risk measurement. Hence, the policy maker can input certain managerial considerations into the performance measure to investigate the stability and solvency issues.
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