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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
121

共同基金績效評估方法---文獻探討與實證主題研究 / Methods of Mutual Fund Performance Evaluation

黃鴻文, Huang, Hung-wen Unknown Date (has links)
台灣股市正走向法人時代,共同基金的重要性無庸置疑。可是台灣的共同基金市場存在著「市場封閉」、「資訊不公開」、「透明度不足」的問題,使得一般投資人在選擇基金時顯得無所適從。近來基金績效評估的研究逐漸受到重視,但是普遍未對評估方法的本身及方法間的演變過程有所了解,本研究藉由對各評估方法的深入探討及實證主題的層層闡釋,來找出一套評估方法的適用規則。 以下是歸納的研究過程與結論﹕(一)評估整體績效的各種方法﹕一般來說,若是投資人投資於多個基金,以Treynor指標來評估共同基金的績效比較合適。若投資人將其資金全部投入單一基金,則Sharpe指標原則上較能代表共同基金的營運績效。若希望與大盤績效做比較,則採用Jensen指標。在實證主題一的驗證中,利用模擬(simulation)的方法來研究第一階段三個經風險調整的重要模型Sharpe指標、Treynor指標、Jensen指標與基金累積報酬率(未經風險調整)在大多頭、大空頭市場下對基金績效的正確區別能力,發現四者對於異常績效的區別能力上其實非常類似,且整體而言區別能力都隨著異常報酬率預設值提高而上升。另外改變隨機抽樣的方式而以市值比大小來作為抽樣基礎,只會使各項指標的正確區別能力降低,四者結果仍然很接近。(二)衡量基金擇時選股能力的各種方法﹕可觀察基金經理人的內涵,當市場走「個股行情」或是市場走勢明確時,投資於選股能力佳的基金會有較佳的獲利情形。相反地,當市場多空看法分歧,個股走勢已脫離基本面而為市場大勢所左右時,投資於擇時能力佳的基金會有較佳的獲利情形。在實證主題二的前半部,利用Henriksson & Merton(1981)的模型針對台灣資料作實證研究,發現台灣的基金部分有選股能力卻完全沒有擇時能力。接著檢定模型殘差項,發現「有效性(efficiency)和一致性(consistency)」並未達成。此外參考了Jagannathan & Korajczyk(1986)對HM的批評而加入了非線性因素於HM模型中,重新對基金作擇時能力估計。在實證主題二的後半部,考慮了「二次方項」的市場因素之後,在同樣的資料下,基金擇時能力提昇了不少,只是在殘差項檢定上仍然存在異質變異數的情形。(三)評估持股比率變動的各種方法﹕本階段評估方法的起始概念都在計算持股比率與個股報酬率之間的相關性來判斷基金績效。愈晚近的模型不斷地改善早期模型的偏誤,像是「向下偏誤」(downward bias)與「存活性偏誤」(survivorship bias)、甚至異常報酬率的發生因素。然而本文並未對「評估持股比率變動的各種方法」作實證主題研究,因為直接代入數據作複雜運算、而不去考慮基金操作上的種種交易成本,將有可能發生倒置的結果,尤其在這個投信高度競爭的時代,手續費、管理費用不斷地有變化,不去考慮這個因素會非常冒險。 章節目錄 第壹章 緒論……………………………………………………… 1 第一節 研究動機、研究目的………………………………. 1 第二節 研究範圍……………………………………………. 4 第三節 研究架構……………………………………………. 4 第貳章 國內共同基金市場分析………………………………… 6 第一節 國內證券投資信託事業(SITE)…………………….. 6 第二節 投信事業的產品---共同基金………………………. 9 第三節 基金市場現狀說明…………………………………. 14 第參章 評估整體績效的各種方法……………………………… 17 第一節 單因素評估法………………………………………. 17 第二節 兩因素評估法………………………………………. 17 第三節 對整體績效評估法的看法…………………………. 26 第肆章 評估基金擇時選股能力的各種方法…………………… 35 第一節 分析投資組合的績效來源…………………………. 36 第二節 UD(Up-Down)模式…………………………………. 43 第三節 隨機變數(stochastic variable)模式………………….52 第伍章 評估持股比率變動的各種方法………………………… 65 第一節 早期觀察持股明細的模型…………………………. 65 第二節 近期觀察持股比率變動的模型……………………. 71 第陸章 實證主題設計…………………………………………… 80 第一節 實證主題內容………………………………………. 81 第二節 資料蒐集、樣本與相關變數的定義………………. 82 第三節 實證主題一的驗證…………………………………. 86 第四節 實證主題二的探討…………………………………. 98 第柒章 結論與建議……………………………………………… 116 第一節 結論…………………………………………………. 116 第二節 建議…………………………………………………. 119 參考文獻………………………………………………………….. 122
122

土地開發之財務分析

江青穗 Unknown Date (has links)
本研究乃針對建地進行開發之財務分析,土地取得方式以業界最普遍之買斷與合建兩種方式並用探討,找出影響土地開發之變數,先從建立土地開發建築規劃開始,將欲開發之土地作最大之建築面積規劃,按著進行財務分析的變數探討與模型建立,藉著現金流量折現模型運用修正淨現值法(Modify Net Present Value; MNPV)計算出投資個案之稅後淨報酬。並由敏感性分析來研判各種影響土地開發因素之重要性,進一步研究合建分回比例與土地成本、營建成本對開發者的投資報酬之影響、研判訂價政策對開發投資報酬的影響、評估投資計畫的銷售率與投資報酬之關係、分析開發募集資金的來源(融資的狀況)對投資報酬之影響,並研判在不同情境下之土地開發投資獲利性。最後考慮風險狀況下之財務分析模型的蒙地卡羅風險模擬,而加以分析土地開發的自有資金與投資報酬之各種可能風險與報酬之關係。
123

台灣產險業特別準備金與盈餘關係之探討

沈美岑 Unknown Date (has links)
有鑑於產險業特別準備金制度爭議已久,應於何時提存或收回似乎已成了保險業界與保險司之間的角力賽。本研究採用傳統精算中破產理論(Ruin Theory)的概念,並觀察火災保險、貨物運輸保險、漁船保險與任意汽車保險等四個不同損失分配的險別進行蒙地卡羅模擬(Monte Carlo Simulation),得出各個險種最適的特別準備金提存率。本文使人更容易了解因各險種具備的特性不同,在相同的破產機率水準下,會因為危險程度不同以及自留保費收入相對於自留賠款間的關係,間接影響到最適特別準備金的提存額度。   本研究的實證模擬分析結果發現:整體而言,目前產險業應提存的特別準備金總額大致上已充足,但是,若以各險別應提列的特別準備金額度而言,任意汽車保險有滯留過多的情形,而漁船保險則明顯地不充足,因此,目前應重新估算各險別應提存的特別準備金,暫時以各險可「相互浥注」的概念,使各險種調整至適當的比率,一併轉入「淨值」項下的「特別公積」科目,而「負債」項所剩餘的「特別準備金」餘額應逐年攤銷;建議今後特別準備金必須以「差額補足法」的會計處理方式,並按各個險種「專款專用」為原則。 / Much debate has devoted about the issue of the contingency reserve in property insurance companies in Taiwan over the past decades and how to calculate the appropriate amount of the reserve has become a perplexing problem between insurance companies and regulators. This paper conducts the Ruin Theory and comes up with the optimal model for calculating the contingency reserve. By using Monte Carlo Simulation method, we collect four different lines data in Fire, Marine cargo. Fishing vessel and Motor insurance to calculate the optimal contingency reserve ratio in each line. In addition, we examine the effect of different contingency reserve systems on insurance company's financial statements. Our results imply that owing to the different loss distribution in each line, the different level of risk and the ratio of retention premium to retention claim will indirectly affect the optimal contingency reserve under the identical ruin probability level.   Our findings indicate that the overall contingency reserve of property insurance company is sufficient at present, but the amount is not sufficient for each line. For example, the reserve in motor insurance is over-reserved while that in fishing vessel insurance is not adequate. We, therefore; suggest that the contingency reserve should be re-estimated by each line. At present, we suggest to use the "inter-line-compensation" principle to make up the insufficient reserve for different line. However, the contingency reserve should be credited as "special fund" of Surplus when the reserve in each line is at the adequate level and the over-reserved amount of "special claim's reserve" should be amortized year by year. Moreover, We suggest to applying the "marginal contribution" method for calculating contingency reserve and establish an individual account for the contingency reserve for each line.
124

賽局理論與學習模型的實證研究 / An empirical study of game theory and learning model

陳冠儒, Chen, Kuan Lu Unknown Date (has links)
賽局理論(Game Theory)大多假設理性決策,單一回合賽局通常可由理論證明均衡(Equilibrium)或是最佳決策,然而如果賽局重複進行,不見得只存在單一均衡,光從理論推導可能無法找到所有均衡。以囚犯困境(Prisoner Dilemma)為例,理論均衡為不合作,若重複的賽局中存有互利關係,不合作可能不是最佳選擇。近年來,經濟學家藉由和統計實驗設計類似的賽局實驗(Game Experiment),探討賽局在理論與實際間的差異,並以學習模型(Learning Model)描述參賽者的決策及行為,但學習模型的優劣大多依賴誤差大小判定,但誤差分析結果可能與資料有關(Data Dependent)。有鑑於學習模型在模型選取上的不足,本文引進統計分析的模型選取及殘差檢定,以實證資料、配合電腦模擬評估學習模型。 本文使用的實證資料,屬於囚犯困境的重複賽局(Repeated Game),包括四種不同的實驗設定,參加賽局實驗者(或是「玩家」)為政治大學大學部學生;比較學習模型有四種:增強學習模型(Reinforcement Learning model)、延伸的增強學習模型(Extend Reinforcement Learning Model)、信念學習模型(Belief Learning Model)、加權經驗吸引模型(Experience-Weighted Attraction Model)。實證及模擬分析發現,增強學習模型較適合用於描述囚犯困境資料,無論是較小的誤差或是適合度分析,增強學習模型都有較佳的結果;另外,也發現玩家在不同實驗設定中的反應並不一致,將玩家分類後會有較佳的結果。 / In game theory, the optimal strategy (or equilibrium) of one-shot games usually can be solved theoretically. But, the optimal strategies of repeated games are likely not unique and are more difficult to find. For example, the defection is the optimal decision for the one-shot Prisoner Dilemma (PD) game. But for the repeated PD game, if the players can benefit from cooperation between rounds then the defection won’t be the only optimal rule. In recent years, economists design game experiments to explore the behavior in repeated games and use the learning models to evaluate the player’s choices. Most of the evaluation criteria are based on the estimation and prediction errors, but the results are likely to be data dependent. In this study, we adapt the model selection process in regression analysis and apply the idea to evaluate learning models. We use empirical data, together with Monte Carlo simulation, to demonstrate the evaluation process. The empirical data used are repeated PD game, including four different experimental settings, and the players of the game are from National Chengchi University in Taiwan. Also, we consider four learning models: Reinforcement learning (RL) model, Extend Reinforcement learning (ERL) model, Belief Learning (BL) model, and Experience-weighted attraction (EWA) model. We found that the RL model is more appropriate to describe the PD data. In addition, the behaviors of players in a group can be quite different and separating the players into different sets can reduce the estimation errors.
125

焦點檢定方法比較 / A simulation study for evaluating focused tests of cluster detection

蔡丞庭 Unknown Date (has links)
臺灣的癌症發生率及死亡率有連年增加的趨勢,研究指出原因可能與環境中的污染物質有關,檢測可能的污染源附近是否存在癌症群聚(Cluster),將有助於未來的癌症防治。在空間統計(Spatial Statistics)有不少方法可用於檢測群聚現象,其中用來檢測某個特定位置周圍是否發生群聚的方法被稱為焦點檢定(Focused Test),本文介紹及評估常用的焦點檢定方法,並使用較佳方法探討臺灣地區疑似污染源的地區。 首先本文使用電腦模擬,在不同情境假設下比較焦點檢定方法的檢定力(Power),例如研究區域大小、群聚形狀等不同的情境,以判斷檢定方法之間的優劣。最後本文分析臺灣鄉鎮市(Township)層級癌症死亡資料,應用焦點檢定方法分析石門核一廠、恆春核三廠及麥寮六輕周圍的癌症死亡率,檢定結果發現核一廠及麥寮六輕附近有較高的癌症死亡率。 / The cancer incidence and mortality rate in Taiwan have been increasing over the past 30 years. Previous studies indicate that the pollution sources, especially for those creating air pollution and excess radiation, are one of the potential causes for the increment. Correctly, detecting the location of possible sources of contaminants can help for cancer prevention. In spatial statistics, focused test can be used to determine if the intensity rate are higher around a possible pollution source. We will introduce and evaluate frequently used focused tests and apply them in Taiwan. First we use computer simulation to compare the power of focused tests in different scenarios, such as study region and cluster shape. Next, we apply the focused tests to Taiwan cancer mortality data, in order to decide if the cancer mortality rates are higher around Chinshan nuclear power plant, Maanshan nuclear power plant, and Mailiao sixth naphtha cracker. The results show that the cancer mortality rates around Chinshan nuclear power plant and Mailiao sixth naphtha cracker are significantly higher.
126

兩母體共有物種數的估計及最佳停止點 / The optimal stopping rule for estimating the number of shared species of two populations

蔡政珈 Unknown Date (has links)
在生態學與生物學上,物種數常作為生物多樣性的指標,以估計單一群體物種數為例,較知名的方法首推Good (1953)以在樣本中出現一次的物種為基礎,提出的物種數估計方法堪稱的先驅,隨後許多文獻延伸Good的想法,發展出許多的估計方法,例如Burham and Overton (1978)的摺刀估計法,Chao and Lee (1992)則以涵蓋機率方式估計。相對而言,兩群體的共有物種數的研究少有人探討,目前以Chao et al. (2000)的估計式較為知名。 本研究參考Good (1953)提出估計未發現物種出現機率的想法,估計未發現共有物種的機率,並以Burham and Overton (1978)中應用摺刀法估計物種數的概念,建立一階摺刀估計式與變異數,且另行以多項分配公式推導變異數估計式,進行電腦模擬與實際資料驗證並與Chao et al. (2000)提出的共有物種估計式比較。最後根據Rasmussen and Starr (1979)以抽樣成本建立最適停止規則的概念,應用於本研究所提出的估計式,並經由電腦模擬找出抽樣成本與物種分佈均勻程度的關聯,可作為設定停止規則的依據。 / The number of species is often used to measure the biodiversity of a population in ecology and biology. Good (1953) proposed a famous estimate for the number of species based on the probability of unseen species. Subsequently, many studies applied Good’s idea to create new estimation methods, For example, the Jackknife estimate by Burham and Overton (1978), and the estimate by using the sample coverage probability in Chao and Lee (1992) are two famous examples. However, not many studies focus on estimating the number of shared species of two populations, except the method by Chao et al. (2000). In this study, we modify Good’s idea and extend the Jackknife method of Burham and Overton (1978) to develop the estimate for the number of shared species of two populations. In addition, we also establish the variance formula of the estimator by using the multinomial distribution. Subsequently, we use computer simulation and real data sets to evaluate the proposed method, and compare them with the estimator by Chao et al. (2000). Finally, we adapt the idea of optimal stopping rule by Rasmussen and Starr (1979) and combine it with the proposed jackknife estimate. We found that using the sampling cost as the stopping rule is a feasible approach for estimating the number of shared species.
127

実走行車内における音声データベースの構築

Itakura, Fumitada, Takeda, Kazuya, Kajita, Shoji, Iwa, Hiroyuki, Matsubara, Shigeki, Kawaguchi, Nobuo, 板倉, 文忠, 武田, 一哉, 梶田, 将司, 岩, 博之, 松原, 茂樹, 河口, 信夫 04 February 2000 (has links)
情報処理学会研究報告. SLP, 音声言語情報処理; 2000-SLP-30-12
128

小區域人口遷徙推估研究 / A Study of Migration Projection for Small Area Population

黃亭綺, Huang Ting-Chi Unknown Date (has links)
國家政策之制定須配合未來人口總數及其結構等特性,藉以達到提高國民福 祉的願景,因此各國均定期公佈人口推估(Population Projection)的結果,目前臺 灣官方人口推估為每兩年公布一次。人口推估主要考量三個要素:出生、死亡、 遷移,以國家層級而言,通常遷徙對未來人口的影響遠小於出生與死亡,所以過 去行政院經濟建設委員會的官方全國人口推估一般專注於出生與死亡。然而,各 國研究發現遷徙是小區域人口推估為最重要的因素,人口數愈少、影響程度有愈 大的傾向,但文獻中較缺乏臺灣內部遷移的研究。如能掌握臺灣小區域人口遷徙 的變遷,將能使政策因地制宜,有助地方政府提高推行政策的有效性,也是本研 究之目標。 由於缺乏完整的縣市、鄉鎮市區層級的詳細遷移資料,本研究以人口平衡公 式反推淨遷移人數,找出各地區的遷移特性後,代入人口變動要素合成法(Cohort Component Method),搭配屬於機率推估的區塊拔靴法(Block Bootstrap),推估小 區域的未來人口。關於出生及死亡的推估,過去研究發現使用區塊拔靴法用於小 區域的生育率(曹育欣,2012)及死亡率(金碩,2011),皆有不錯的推估結果。 本研究以臺北市為範例,討論區塊拔靴法在小區域遷徙人口數、年齡別遷徙人口 的推估效果,及是否適合運用在其他不同縣市。 / The population projection is used to provide information for the policy planning of governments. In Taiwan, the Council for Economic Planning and Development is in charge of the official population projection and it release projection results every two years. Basically, three factors are considered in population projection: birth, death, and migration. Since the migration has little impacts in country-level projection, many countries (including Taiwan) assume the future migration is zero or close to zero, and the focus of projection is usually on the birth and death. However, for the projection of small area (such as county- or township-level), past studies found that the effect of migration cannot be ignored. But, partly due to the limitation of migration data, there are not many studies explore the migration patterns of counties or townships in Taiwan. In this study, we use the population records (births and deaths) and the population equation to derive the county-level records of internal migration in Taiwan. We use these data to explore the migration patterns of all counties in Taiwan, and then applying block bootstrap method to modify the county-level population projection. Note that, the block bootstrap is shown to be reliable in forecasting fertility (Tsao, 2012) and mortality (Jin, 2011) for small areas. In this study, we also use the Taipei City to demonstrate the population projection which includes the internal migration, and the result is promising.
129

死亡壓縮與長壽風險之研究 / A Study of Mortality Compression and Longevity Risk

謝佩文, Hsieh, Pei Wen Unknown Date (has links)
醫療技術的進步以及生活品質的提升,預計人類平均壽命將持續延長,以臺灣為例,男、女性平均壽命將從2011年的75.98歲、82.65歲,增加到2060年的82.0歲、88.0歲(資料來源:行政院經濟建設委員會2012年推估)。壽命延長意謂更長的退休生活,世界各國在21世紀均面對需求日殷的老年生活照顧,包括退休金制度以及老人醫療等,這些社會福利及保險勢必增加國家財務負擔,因此壽命是否繼續延長或存有極限成為大家關心的議題。近年來,不少研究透過死亡壓縮(Mortality Compression)連結壽命議題,亦即探討死亡年齡是否將集中至更窄的範圍,但因為資料及研究方法的限制,死亡壓縮是否成立仍無定論。 本研究以統計方法、分配假設、資料品質,三個面向來探討死亡壓縮與延壽之間的關係。本研究提出三種數值優化方法:加權最小平方法(Weighted Least Squares;WLS)、非線性極值法(Nonlinear-Maximization;NM)及最大概似估計法(Maximal Likelihood Estimation;MLE),透過電腦模擬衡量方法優劣,與過去常見的方法比較(Kannisto的SD(M+)),探討何者具有較小的均方誤差(Mean Squared Error;MSE)。其次若死亡年齡之真實死亡分配為t分配時,探討以常態假設代入計算所產生的偏誤;最後則是套入各國實際死亡資料,使用上述較佳的估計方法,檢視死亡壓縮是否存在。 研究結果顯示,NM具有不偏性質且具有較小的均方誤差,過去研究常用的SD(M+)反而有明顯偏誤,且隨著觀察值越多變異數反而增加。而若真實死亡分配若為t分配時,以原先利用常態假設所計算的年金險保費皆有低估的情形,分配的重要性可見一斑,進而探討在實務上常態分配之假設,發現與仍與實際情形有明顯之差異,不論是NM及SD(M+)在死亡壓縮的探討下,皆受到資料的限制而有待商榷。 / Due to the advance in medical technology and the change of life style, the human life expectancy has been increasing since the end of the Second World War II and it is expected to continue the pace of increment. Longer life expectancy also means a longer life after retirement. People living in the 21st century are faced with growing demand for the retirement life, such as the pension funds and medical needs to the individuals, as well as the social welfare and insurance for the elderly to the government. Thus, the issue whether the lifespan has a limit receives a lot of attention. In particular, many studies focus on the topic of mortality compression, which means that the expectancy of lifespan has a limit and variance of lifespan converge. However, due to the availability of elderly data, there is still no consensus if the mortality compression is true. In this study, we propose estimation methods to estimate modal age and variance of the age-at-death. Three types of methods are involved: weighted least squares (WLS) method, nonlinear maximization (NM) method, and maximum likelihood estimation (MLE) method, and they are compared to the method proposed by Kannisto, namely SD(M+), in 2000. We found that the NM method has a smaller MSE, and we cannot decide the mortality compression is true based on the data from Human Mortality Database. We also applied the normality and t distribution assumption to the age-at-death and compute the pure premiums for annuity products. We found that normality distribution would produce larger premiums than using the empirical mortality rates. Similarity, the bankruptcy probability would be higher if the t distribution is used.
130

以卡方適合度檢定檢驗二維關聯結構之研究

范宜鴻 Unknown Date (has links)
關聯結構(Copula)這個字最早由Sklar(1959)以法文所提出,在邊際分配未知的假設下,透過關聯結構的特性,可以容易的建立聯合機率分配,所以關聯結構的觀念廣泛應用在財務領域中。對於資料在配適關聯結構的同時,要如何知道哪種關聯結構函數是最符合資料型態的分配呢?為解決這個問題,本文中參考Dobric and Schmid (2005)所提出的方法--卡方適合度檢定,來看資料配適關聯結構函數是否配適的恰當。所以本文的研究重點就是在利用卡方適合度檢定來探討各類股間日報酬率資料配適關聯結構的情形。在5種不同關聯結構(Normal關聯結構、t關聯結構、Clayton 關聯結構、Frank關聯結構、Gumbel關聯結構),利用蒙地卡羅模擬方法,來做關聯結構在卡方適合度檢定之模擬,以及檢定力曲線。在檢定統計量、參數估計、顯著水準的估計都還不錯,只有當切割數越大時參數估計會和設定值差異較大。從檢定力曲線可看出這些檢定的檢定力都很好,代表有足夠能力能去辨別出分配的差異性。實證的部份,從台灣上市公司選取4個內需概念股報酬率的日內資料。結果可看出在Normal、Clayton、Frank、Gumbel這4個關聯結構,是不適合用來描述實際報酬的日資料。而當t關聯結構自由度較小時來描述資料型態是表現的不錯。

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