本論文旨在對80~90年代政治社會學或利益團體研究中的統合主義(cortoratism)或新統合主義(neo-corporatism)進行理論層次的討論，對其日見紛雜且模糊的定義、特性、結構、操作模式及研究趨向，進行整理、分析與檢證，整理出其作為政治經濟系統、國家型式、利益中介體系、政策形成與執行模式、甚或作為一種政治結構等不同面向的組成結構與運作模式，並以文獻研究的方式，對照統合主義理論在不同解釋層次的運用問題。最後，更嘗試對統合主義與民主、統合主義與多元主義之間的辨證，提出基本的看法。

近年來我國產業受全球經濟競爭激烈以及中國低廉生產成本等因素影響，外移情形嚴重，甚而造成國內工業區土地閒置及開發單位資金積壓問題，因此政府為解決上開問題及鼓勵廠商投資以帶動景氣復甦，乃貸款投資取得工業區土地，推出「工業區土地租金優惠調整措施」(○○六六八八優惠出租方案)，以提供廠商承租設廠使用。然如何在有限貸款額度內，提升政府資金運用效率，使能在不增加或減少政府財政負擔前提下，達到擴大出租方案資金規模、提振國家經濟以及償還開發單位墊付之開發費用等效益，從而引發本文以不動產證券化方式針對上述議題進行研究之動機。 　　本研究以我國不動證券化制度為基礎，經由相關文獻回顧歸納整理、指標評點分析法、現金流量分析法及不動產證券化證券設計分析方法，從我國工業不動產證券化投資組合選取、證券化前後現金流量及證券設計模擬分析等面向，進行深入探討，經實證結果顯示，透過不動產證券化之財務工具運用，確實能夠改善投資組合財務結構，並達到提升政府資金運用效率，擴大優惠出租方案規模，以減輕政府財政負擔等目標。

面對市場未來趨勢的不確定性，投資者可以運用「投資組合保險」的概念，既能保障原本所投資的資產價值，又可以參與市場上漲時的獲利。本研究以類神經網路來研究證券市場的現象，一方面是已經有許多類神經網路在財務分析上的研究成果，另一方面是其具有學習以及預測的能力。 本研究首先探討投資組合保險策略，接著再比較投資組合保險策略在不同市況下的績效表現，隨後提出兩個階段的研究架構，經過設計與建置，以類神經網路模型進行對大盤未來漲跌型態的模擬預測，並利用預測的結果，輔助投資組合保險策略的決策，最後並將研究結果與大盤績效做綜合分析比較。 本研究的資料採取自台灣證券集中交易市場，期間為1991年1月3日至2002年12月31日，共3306個交易日，取大盤每日交易之歷史資料，經過處理後建立資料庫。類神經網路模型具有預測未來大盤漲跌區間的能力，在本研究所提出的漲跌區間劃分方式上，其預測正確率達到55%，預測的結果與實際漲跌完全相反的比例僅10%，其餘的35%為相鄰區間的預測誤差，其預測能力有助於投資組合保險策略的進行。 經過類神經網路模型輔助而進行的停損策略（SL），其年報酬率以及Sharpe Ratio，在大盤下跌的期間，兩個績效指標衡量結果皆為正值（21.125%＞0以及980.493＞0），充分發揮保險功能；而在大盤上漲的期間，兩個績效指標衡量結果皆優於大盤（46.544%＞17.137%以及393.808＞110.069）。 在年報酬率與Sharpe Ratio之間，本研究主張在探討投資組合保險時應著重風險的衡量，因此經過類神經網路模型輔助而進行的固定比例投資組合策略（CPPI），搭配槓桿乘數M值的調整，在大盤下跌的期間，其Sharpe Ratio依然可以維持正值，達到保險的效果，保護投資人的資產免於損失；而在大盤上漲的期間，其Sharpe Ratio更是高於大盤，可以享受資產價值提昇的獲利。 / Facing the uncertainty of the market trend, an investor can use the concept of “ Portfolio Insurance ” to protect the value of his portfolio in bear market and earn the benefit from bull market. There have been many researches about applying Neural Network in the financial analysis and Neural Network has the abilities to learn and forecast. This research evaluates the performances of the portfolio insurance strategies in different market trends. Then two-stage research structure has been designed and built. The first stage is forecasting the up-and-down trends of the equity market index by Neural network model. The second stage is using the forecasted results assisting the portfolio insurance decisions. Finally, the results of this research have been analyzed and compared with the benchmark. The Neural Network is able to forecast the future up-and-down trends. The accurate rate is 55%. During the bear market（2002）, the annual rate of return and Sharpe Ratio of the stop loss（SL） strategy which is assisted by NN are both positive（21.125%＞0 and 980.493＞0）. During the bull market（2001）, they both outperform the benchmark（46.544%＞17.137% and 393.808＞110.069）. The annual rate of return is more important than Sharpe Ratio because the risk measurement is an important factor in portfolio insurance strategy. Sharpe Ratios of the CPPI strategy which is assisted by NN outperform the benchmark in both above mentioned bear and bull market. In short, the SL and CPPI strategy assisted by NN not only protect the value of the portfolio from losing in bear market but also gain profit in bull market, so they are the ideal portfolio insurance strategies.

本研究希望以個案研究的方式來探討多事業部的跨國公司的投資策略之組合，於有限的資源下，跨國公司必須以何種客觀及有效率的方法，來配置其所擁有的資源於其總公司之下所屬的事業部，以使其投資效益達到最大，進而增加股東價值。 　　本研究是以波士頓矩陣的理論架構，配合波特的五力分析，並運用產業分析的架構來進行外部分析，以及公司的優劣勢的內部分析，來訂位公司之投資策略方向。整個研究分為五個階段（1）先擬定可運用於本研究的理論模式及架構，將特用化學產業的投資模式加以量化及定位（2）分析外部產業的機會與威脅以及公司內部分析的優劣勢（3）根據上述分析定位出各事業部於波士頓矩陣中所處的四個象限（4）根據事業部之定位以及事業現況，擬定投資策略建議（5）投資策略規劃的回饋及修正。 　　有效率的資源配置，能夠確保良好的投資報酬率，增加股東權益，使企業能夠永續經營，本研究分析後發現特用化學產業的投資策略，必須結合外部產業分析與內部績效評估，以取得最客觀的決策資訊，並且做出最佳的投資決策。全球化趨勢下，企業必須有全球佈局與管理跨國企業之能力，本研究對於國內企業於邁向國際化的腳步過程中的建議，是如何培養並建立起管理國際企業之核心能力，是企業負責人的首要課題。

近年來，投資理財已經成為全民運動，昔日的定存族早已不復見，投資人在進行資產配置時，除了希望能有固定的保障本金及配息之外，更希望能在市場走勢看好時同時享有增值的利益，而投資組合保險便能滿足這些投資人的需求，部分的投資者及基金經理人，也開始運用投資組合保險進行資產配置。 為了更進一步瞭解投資組合保險策略實際上的運作及其特性，本研究利用蒙地卡羅模擬法，針對不同市場（多頭、空頭、盤整）以及資產間相關係數不同下（高度正相關、低度正相關），模擬多支股票所形成的投資組合，探討「複製性賣權策略（SPO）」、「固定比例投資組合保險策略（CPPI）」、「時間不變性投資組合保險策略（TIPP）」、「固定比例策略（CM）」、「買入持有策略（BH）」在不同市場走勢下相對的績效，並找出在不同市場下最適合各種策略的調整法則。此外，針對CPPI與TIPP策略提出動態調整風險參數m值的概念（MCPPI、MTIPP策略），試著改進此兩種策略在傳統上風險參數固定不動的缺點。在實證部分，除了驗證MCPPI與MTIPP的績效是否真的較佳，並檢驗蒙地卡羅模擬中模擬適合不同策略的調整方式的結果是否正確。 經由模擬可發現：多頭時期，SPO與CPPI策略以每日調整為佳，TIPP及CM策略以5%落差調整為佳，而且SPO策略的平均報酬最高；盤整時期，SPO、CPPI、TIPP策略以5%落差調整較好，CM策略以1%落差調整較好，期末報酬以TIPP策略為佳；空頭時期，SPO與TIPP策略以每日調整為佳，CPPI策略以1%落差調整較好，CM策略以5%落差調整較佳，期末報酬也以TIPP策略為優。經由實證可以證明，不論市場走勢為何，MCPPI、MTIPP策略的績效均比傳統的CPPI、TIPP來的好，顯示動態調整風險參數確實能增加投資組合的績效；此外，若能正確預測市場走勢，並依照蒙地卡羅模擬的結果選擇正確的調整法則，將能有效的提升投資組合保險策略的績效。 / In order to find out the characteristic and operation of portfolio insurance strategies, this study makes an extensive Monte Carlo simulation comparison of five portfolio insurance strategies (Synthetic put option (SPO), Constant Proportion Portfolio Insurance (CPPI), Time-Invariant Portfolio Protection (TIPP), Constant Mix (CM), Buy and Hold (BH) ) . For each strategy, some measures (average return, standard deviation, protection error and opportunity cost) are calculated to compare its performance. Besides, these strategies are compared in different market situations (bull, bear, no-trend markets) and with different asset correlation (highly correlated, low correlated), taking into account transaction costs and the price limit. The Monte Carlo simulations show the optimal rebalancing discipline of different portfolio insurance strategies in different markets; moreover, via the simulation process, we can find out a dominant role of TIPP strategies in bear and no-trend markets and a preference for SPO strategies in bull markets. These results are independent of the asset correlation. In historical simulations, we bring out an extended method for CPPI and TIPP strategies, called MCPPI and MTIPP strategies, which increase the risk multiplier (m) when market price goes up and decrease the risk multiplier when market price goes down. Comparing the portfolio insurance strategies mentioned above (SPO, CPPI, TIPP, CM, BH, MCPPI, MTIPP) ,we can find out that MCPPI and MTIPP strategies can dominate CPPI and TIPP strategies in all market ; besides, if we can use the optimal rebalance discipline correctly, it will effectively enhance the performance of portfolio insurance strategies. Although in historical and Monte Carlo simulations, we can’t conclude any strategy which is dominant in all market situations, but we can summarize that SPO strategy can dominate other strategies in bull market, and MTIPP and TIPP strategies can dominate other strategies in bear and no-trend market.

採用風險值取代標準差來衡量投資組合的下方風險，除了更符合投資人的對風險的態度，也更貼近目前金融機構多以風險值作為內部控管工具的情形。但除了風險的事後衡量，本篇論文希望能夠事前積極地控制投資組合風險值，求得最適投資組合的各資產配置權重。故本篇論文研究方法採用了Rockafellar and Uryasev.(2000)的極小條件風險值最適投資組合模型先建立Mean-CVaR效率前緣，並將此效率前緣上的投資組合風險以風險值衡量，再應用電腦上的探索方法進一步求得風險值更低的投資組合，逼近求得Mean-VaR效率前緣，最後利用Mean-VaR效率前緣採用Campbell，Huisman與Koedijk(2001)模型求得控制風險值下的最適投資組合。 在實證分析上，本篇論文採用國內三檔股票為標的，首先在實證標的資產報酬檢定為非常態分配下，使用歷史模擬法，以資產實際非常態報酬分配估計VaR，驗證了使用本篇論文研究方法極小CVaR投資組合與探索方法，可以適當逼近真實的Mean-VaR效率前緣。再者研究比較不同信賴水準、不同資產報酬分配假設與不同權重產生方式下的Mean-VaR效率前緣與Ｍean- 效率前緣效果差異，最後求得控制風險值下的最適投資組合。 / In contrast to the role of variance in the traditional Mean-Variance framework, in this thesis we introduce Value-at-Risk (VaR) as a shortfall-constraint into the portfolio selection decision. Doing so is much more in fitting with individual perception to risk and in line with the constraints which financial institutes currently face. However, mathematically VaR has some serious limitations making the portfolio selection problem difficult to attain optimal solution. In order to apply VaR to ex ante portfolio decision, we use the closely related tractable risk measure Conditional Value-at-Risk (CVaR) in this thesis as a proxy to find efficient portfolios. We utilize linear programming formulation developed by Rockafellar and Uryasev(2000) to construct a Mean-CVaR efficient frontier. Following which the VaR of resulting portfolios in the Mean-CVaR efficient frontier is reduced further by a simple heuristic procedure. After constructing an empirical Mean-VaR efficient frontier that can be proven an useful approximation to the true Mean-VaR efficient frontier, the Campbell, Huisman and Koedijk(2001) model is used to find the optimal portfolio. Three Taiwan listing stocks are used to build the Mean-VaR efficient frontier in the empirical study. And the Mean-VaR efficient frontier of different confident levels, under different asset return assumptions, and different optimal portfolio selection models are compared and results analyzed.

在此篇論文中我們考慮連續時間架構下, 加入匯差風險與利率風險之跨國投資組合問題. 延續 Lioui, Poncet (2003) 的研究架構, 我們考慮 國內外債券股票與現金的投資組合, 以martingale方法求解避險操作與最佳投資策略. / In this study, we investigate the hedge demands in international portfolio management under a general continuous time framework for constant relative risk averse investors where, in particular, exchange rate risk and the interest rate risk are incorporated. Within this international economy, the changes of real exchange rates, real interest rates and stock prices are assumed to follow the Markovian processes whose drifts and diffusion parameters are driven by certain state variables. Our approach is through the use of the martingale methodology developed by Cox and Huang (1989, 1991) as proposed in the work of Lioui and Poncet (2003). Following their framework, we consider the economy of the investors that consists of one foreign currency and the domestic one, together with their bond portfolios and stock indices. Adding to the previous works, we have compared the obtained optimal strategies with some prevailing ad hoc ones in order to clarify the hedge effects in financial decision from the long term perspective.

過去文獻少有探討不動產的收益穩定性，多重視市場租金或市場空置率的變化，但隨著辦公大樓證券化投資風潮，個別大樓的租金和空置率變化，以及大樓租金收益穩定性成為投資的重要判斷指標，而其中租戶結構更是辦公大樓租金收益穩定的主要來源，也是大樓空置率的重要影響因子，成為本文研究之焦點。本文實地調查台北市主要辦公室商圈中90棟辦公大樓，並以三階段最小平方法（3SLS）聯立模型分析影響個別辦公大樓租金及空置率的因素，研究結果發現，空置率增加1%將使每坪月租金減少13.09元，但每坪月租金增加100元會造成大樓空置率上升1.55%。其次，平均每層租戶數目多、租戶平均面積大、租戶以外商公司為主體、企業平均利潤率高、「金融及保險、不動產及租賃、專業科學及技術服務業」等行業佔大樓面積比例愈高等因素，皆能有效降低辦公大樓空置率，使投資人的租金收益更穩定。由此可知，成功的辦公大樓投資或證券化，租戶結構對於空置狀況的影響應加以重視，方能確保未來擁有穩定的租金收益。 因不動產證券化發展，辦公大樓投資組合情況也應受到市場重視，本文以90棟辦公大樓進行兩兩任意組合模擬，在現有資料下，結果為相較於個別辦公大樓投資，若將辦公大樓採兩兩投資組合，能獲得較高報酬及較低風險。而分析組合內容可發現，重視大樓的建物品質比重視租戶品質更能達到效率組合，若選擇「好建物」的大樓納入投資組合中，將能提高組合的報酬；若選擇「好租戶」的大樓納入投資組合中，將能降低組合的風險。 / Previous literatures mostly focus on the change in market rental and vacancy rate of office buildings, but rarely discuss the rental income stability of real estates investment. However, with the prevalence of office building securitization as investment targets goes on, the rental income stability of individual real estates has become an important indicator for investment purposes. Among many, tenant structure, the main focus of this study, is the major source of income stability of office buildings, and also an important factor to building vacancy rate. This study makes researches of ninety office buildings in the major business areas of Taipei, applying three stage least squares(3SLS) methods to analyze the factors that affect the rental and vacancy rate of individual office buildings. The empirical results of this study suggest that increasing per 1% in vacancy rate shall make decrease monthly rent by 13.09 $NTD/ping and increasing per 100$ NTD/ping in monthly rent shall make increase1.55% in building vacancy rate. Moreover, there are many factors, such as the average number of tenants on per floor, average rental size from per tenant, foreign firms are the main tenants of office building, the average firm return rate, can all efficiently lower the vacancy rate of office buildings, and make rental returns more stable for investors. Besides, if the industries of finance and insurance, real estate and rental, science expertise and technical service make up a high proportion of total floor surface will lower the vacancy rate.Therefore we know that, for a successful office building securitization or investment, the effect of tenant structure on vacancy rate should be more recognized in order to ensure a future possession of stable rental returns. Due to the development in the Real Estate Securitization, the situations in portfolio of office buildings should receive its share of attention from the market. This paper simulates 90 office buildings into random pairs and finds out that, in contrary to stand-alone investments, investing in pairs shall yield a higher return at a lower risk. Analyzing the contents of the portfolio, we can find out that, paying more attention on the quality of the building rather than on the quality of tenants can more easily attain efficiency. Putting a “good building” into an portfolio shall increase return, and putting in a building with “good tenants” shall reduce risk.

本研究主要採用資源保存理論的壓力模式來檢驗921地震發生兩年半後，災區居民的資源流失與因應行為對身心症狀的影響，並比較不同社區組織與族群在資源流失、因應行為及身心症狀上的差異本研究主要採用問卷調查法，研究對象為南投埔里鎮居民，有效樣本共354份。受測樣本的設計分為目前住在組合屋和目前住在自己家中以及原住民和非原住民。研究工具包括「創傷後壓力反應指標問卷」、「資源流失調查表」及「因應量表」。資料的處理以相關分析、路徑分析、階層回歸分析和單因子共變數分析為主。本研究結果發現如下：（1）資源流失與逃避式的因應均能預測災區居民的身心症狀，但資源流失對身心症狀的預測要大於逃避式因應，且在四種類型的資源中，以個人資源流失的預測力最強。（2）在不同社區組織的比較中，組合屋居民出現較多身心症狀和資源的流失，且個人資源的流失和逃避式因應均是預測其身心症狀的最強變項。（2）在不同族群的比較中，原住民族群與非原住民族群在身心症狀和資源流失上沒有明顯差異，但原住民族群報告較多逃避式的因應，且逃避式的因應是預測其身心症狀的最強變項。根據研究結果，本研究對地震後的復建提出以下幾點建議：（1）減緩災難後資源的流失並增加資源的獲得。（2）社區組織的介入。（3）增強原住民族群的因應行為。 關鍵字：921地震、資源流失、因應行為、組合屋、原住民 / This study used the Conservation of Resources stress model to examine the effects of resources loss and coping behavior on psychological/physical symptoms after the 921 earthquake. And compared with the differences of resources loss, coping behavior and psychological/physical symptoms in different community organizations and races. This study was conducted by questionnaire investigation. 354 participants living in Pu-Li Town completed the questionnaires. The design of samples was distinguished between living in Temporal houses and living in own houses, and aborigines and non-aborigines. The measurements applied in this study included "Posttraumatic Stress Reaction Index Questionnaire", "Resources Loss Inventory" and "Coping Scale". The obtained data was analyzed by Pearson product-moment correlation, path analysis, hierarchical multiple regression analysis and one-way ANCOVA. The results of this study included: (1) resources loss and avoidant coping could predict psychological/physical symptoms, but resource loss predicted psychological symptoms better than avoidant coping. Personal resources were the strongest predictor among four kinds of resources. (2) In different community organizations. Temporal house's residents reported more resources loss and psychological/physical symptoms. And personal resources and avoidant coping were the strongest predictors. (3) In different races, the level of resources loss and psychological/physical symptoms were no significant differences between aborigines and non-aborigines. But aborigines revealed more avoidant coping and avoidant coping was the strongest predictor. Based on the results, some suggestions to post-earthquake rehabilitation were included: (1) Acting to limit resources loss after disaster and increase resources gain. (2) Considering the intervention of community organization. (3) Enhancing aborigine's coping behavior. Keywords: 921 earthquake, resource loss, coping behavior. Temporal houses, aborigines

在投資無國界的全球化金融市場下，國際市場的開放與整合平台的建立，使國內投資人可選擇更多的金融工具。傳統的投資項目多為股票、債券或平衡型商品，在獲利狀況不甚理想下，便開始尋求其他國際的投資管道或是金融商品加入其資產配置中，希望獲取穩定的報酬下，又能降低所承擔的投資風險將投資所需承擔的風險減低。 近年避險基金的投資績效及資產規模成長搶眼，挾著法令寬鬆與靈活運用的操作策略，以及投資範疇廣與市場連動性低等特性，創造出日益壯大的規模。我國積極致力於金融改革，除了監督管理制度面的改善，對於新興金融工具的開放，也是國內投資環境必須跟進的方向。未來在台灣若能開放設立避險基金之前，國內投資人與監管機關所擔負職責，皆應該對此種金融工具有深入的認識。 本研究透過四個概念的架構，去評估避險基金加入投資組合後，是否可以幫助投資人達成降低風險以及增加報酬之目標，以及身為資產管理者如何將避險基金納入其資產配置決策等相關考量；對國內金融主管機關而言，避險基金的開放或是投資限制的放寬是否是正確的金融政策方向，才能配以完善的監理機制與法令規範，使國內投資大眾在投資理財工具上更加完備。 實證結果分析發現，在研究期間避險基金的確可以幫助投資組合之效益提升，但是加入總體情境時，其對投資組合的幫助卻不一致，只有在空頭期間的效果明顯。另外發現沒有避險基金相關之投資限制下的投資組合，其夏普指數高於有限制的投資組合；在避險基金限制放寬下，效率前緣往左上角移動，推論放寬避險基金限制該是正確的金融政策。最後，本研究也發現以機構投資法人而言，避險基金加入投資組合能幫助達到絕對報酬。 / Under the global financial market, which has broken the boundaries between nations, domestic investors now have more choices of financial instruments than they did before. Therefore, besides traditional domestic investment vehicles, such as stocks or mutual funds, domestic investors have started seeking other instruments to enhance their portfolio, pursuing better risk-return profile. In recent years, hedge fund’s performance and assets size have both grew impressively by capitalizing on deregulations and various trading strategies of its own. Besides the improvement in financial supervision system, deregulation and capitalizing on newly innovated financial instruments are also important to the reformation of Taiwan’s financial market. Before hedge funds can be legally raised in Taiwan, both domestic investors and market supervisors should equip themselves with adequate knowledge about this important instrument. By analyzing the four concepts in the third chapter, the research intends to evaluate whether investors can enjoy better risk-return profile by adding hedge funds into their portfolios. Also, the research objective is to provide suggestions to fund managers as they consider their assets allocation. Finally, we want to evaluate whether it is correct for Taiwan to open up to hedge funds, therefore the government can establish feasible supervision system to protect domestic investors’ rights. The research has found that hedge funds could indeed benefit the portfolio during the time period under consideration. However, hedge funds did not have significant effect on the portfolio as macroeconomic scenario was taken into consideration. In the scenario, hedge funds have significantly positive effect on the portfolio only under a bearing market. Furthermore, the research found that the portfolios with less limitation on hedge fund investment can enjoy better Sharp Ratios than those with striker limitation on hedge fund investment. Since the efficiency frontier moved upper left as we reduced the limitation on hedge fund investment in the research, we may conclude that an open-up to hedge funds should be the correct direction for our financial policy. At last, the research also found that institutional investors can get absolute return by adopting hedge funds in their portfolios.