近年來金融市場情勢瞬息萬變且波動劇烈而令投資人難以捉摸，導致被動式投資重獲投資人的青睞。市值加權法是最普遍被使用的指數編製方法，傳統市值加權指數的缺點，主要有投資組合主要集中於特定成份股與暴露於不會吸引風險溢價的各類風險因子中，這些缺點促成Smart Beta策略的發展，未來將有許多具備不同風險與報酬水準的指數供投資人參考。本研究選用近幾年提出不需仰賴預期報酬假說的等量風險貢獻度投資組合(ERC)建構方式，以台灣50為基準，利用其成份股建構投資組合，探討權重與風險分散特性，並且檢視其績效表現與報酬風險輪廓。為了有比較上的基礎，除了與台灣50做比較外，也另外選用以風險分散角度所配置的投資組合建構方法：等權重投資組合(EW)作對照。 　　研究結果發現全樣本時期，等量風險貢獻度投資組合在事後相較於台灣50擁有較低的波動度。當市場趨勢向下時，除了能維持其低波動的特性，還能提供某種程度上的抗跌能力。然而，以報酬率和Sharpe Ratio指標來看，表現皆不如台灣50，但優於等權重投資組合。同時，依不同經濟狀況與時間區間檢視投資組合績效表現，等量風險貢獻度投資組合能將波動度控制在較低水準，但績效表現上較不穩定。 　　本文透過HHI指數及吉尼係數衡量持股集中度與風險集中度。以持股權重分配的特性來說，台灣50極端集中於少數股票上，等量風險貢獻度投資組合和等權重投資組合則相對較平均。以風險權重分配的特性來說，台灣50風險權重過於集中，風險權重較平均分散的組合則為等量風險貢獻度投資組合。 / Traditional capitalization-weighted approaches are the most common ways to construct indexes. However, during market up turns, the capitalization-weighted indexes may be influenced by a small number of large-cap stocks. Smart beta indexes have recently prompted great interest among academic researchers and market practitioners. Risk-based indexes are an important category of smart beta. In this article, we explore equal risk contribution portfolio (ERC), which is risk-parity based smart beta. The portfolio implies to determine the weights so as to obtain the same risk contribution for each asset. The aim is to minimize the concentration in terms of risk contributions. In this paper, we examine whether or not ERC portfolio can outperform a buy and hold, capitalization-weighted and equally-weighted allocation in different economic environments. We also compute the parity in portfolio “risk allocation” and parity in “asset class allocation” using HHI index and Gini coefficient. 　　We consider here real-life applications with stock universe: the Yuanta /P-shares Taiwan Top 50 ETF. We compute smart beta portfolios by using the one-year empirical covariance matrix of stock returns. Empirical applications show that ERC portfolios generally are inferior in terms of return performance and Sharpe ratios. It does have some characteristics such as balanced risk allocation and less volatile performance characteristics. It also exposes to lower maximum drawdown. ERC portfolio provides the best ex ante and ex post “parity “in asset class risk contribution. On the other hand, the capitalization-weighted portfolio is concentrated in terms of weights and risk contributions. The statistics suggest to us that the capitalization-weighted portfolio’s superior Sharpe ratio is largely due to its higher returns.

內容如后： 第一章：導論，說明本論文之研究目的、研究方法、研究限制及全篇論文之結構。 第二章：敘述傳統情況下損益平衡分析之假設限制條件及應用上之限制。 第三章：損益平衡分析法之最新發展。 第四章：不確定情況下之損益平衡分析、說明線性、非線性分析、討論單一產品及多 產品的常態分配模式、對數常態分配模式。 第五章：建立不確立情況下損益平衡分析之一般決策模式，將需求及利潤視為隨機變 數，以修正傳統模式，並研究兩平點之隨機分析，即假設固定成本與邊際貢獻為互變 數對數常態分配時之兩平點機率探討。 第六章：實例研究。 第七章：學習曲線在損益平衡分析上之應用。 第八章：結論。

截至2016年的統計資料，我國產險與壽險業的保險公司家數來到54家，保險業資產總額佔了全台灣所有金融機構總資產的31.78%，資產規模來到新台幣22.6兆元，在如此龐大的資產規模下，保險公司的投資組合管理變成相當的重要，重點漸漸的從投資在什麼樣的商品可以讓資金獲取最大效益轉移到了投資後的管理與部位的調整，以避免不必要的非系統性風險，有鑑於此，台灣在2003年實施了RBC制度，讓保險公司的投資組合的分配有所依據，不過仍然免不了過度集中在某些資產的問題，所以本研究的目的在於能否運用風險集中度的概念來判斷投資組合是否過度集中，而不僅僅只有投資金額的比例來做判斷。 本論文的研究方法會根據各家保險公司的實際投資組合以每半年或每年的型式分別計算Marginal Risk Contribution(MRC)的値，並且進行分析後再以Herfindahl-Hirschman Index(HHI)與 Gini Index 來檢視長期資產組合集中度的趨勢，最後的研究結果可以發現若是從邊際風險貢獻的比例來看，各保險公司的風險分布主要是集中在國內上市普通股與ETF、海內外不動產投資、國外已開發國家或新興市場上市普通股與ETF以及A評等的國外固定收益債券，而利用HHI與Gini Index兩個指標來看，各保險公司的資產集中度是逐年上升的。 / According to the statistical data in 2016, there are 54 insurance companies which includes property and casualty insurance company and life insurance company. And the scale of insurance asset is NTD 2,260 billion, accounting for 31.78% of whole asset of financial institution in Taiwan. Under huge amount of asset, the portfolio management for insurance company become more and more important. The key points of this issue are transferring to the ratio of portfolio management from choosing asset class to get maximum profit in order to avoid the nonsystematic risk gradually. Therefore, the Risk-based Capital policy has established in 2003 in Taiwan. The ratio of the insurance companies’ portfolio had the reference to allocate. However, there were some issues about the excessive concentration of some asset classes. So, the target of this study is using the concept of the risk concentration to judge the portfolio too concentrated or not. Not just judge it by its amount invested. The research process of this thesis is to calculate the marginal risk contribution value of the insurance companies’ portfolio every half a year or every year. Moreover, using the Herfindahl-Hirschman Index (HHI) & Gini Index to observe the trend of long term portfolio concentration. From the marginal risk contribution ratio. We can found the result of this study is the risk concentrated on the domestic listed common stock & ETF, domestic or foreign Real Estate, foreign developed market or emerging market listed common stock & ETF and fixed income bond (A rating). Besides, using the Herfindahl – Hirschman index and Gini index. The concentrated ratio of insurance companies’ portfolio were raising recent years.

由於智慧型手機與各種手持裝置日漸普及，4G行動上網速度與行動支付安全性、便利性與即時性的提升，行動支付（Mobile Payment）在這幾年已然成為電信、金融、手機軟硬體製造產業之間最熱門的話題之一，多樣化之支付型態因應而生。將個人行動裝置結合金融支付工具進行交易，讓使用者不需帶錢包出門即能輕鬆完成小額支付是未來趨勢，世界各國行動支付的比例逐漸提高，邁入無現金社會。 台灣電信運營商也積極在行動支付戰場爭取一席之地，陸續推出電信運營商帳單代付（Direct Carrier Billing，DCB）及近距離無線通訊（Near Field Communication，NFC）相關行動支付應用服務，以增加創新服務體驗及客戶黏著度，最終目標為提高客戶平均貢獻度（Average Revenue Per User，ARPU）。 本研究採用質性研究方法，透過次級資料蒐集、整理及分析，瞭解國外電信運營商之成功案例從中擷取鑑往知來的想法和做法，再深入觀察目前國內電信運營商在DCB的壞帳風險過高的問題及NFC電子錢包等行動支付之發展現況與窘境。最後提出建議，建議一為推動成立「電信聯合徵信中心」以共同降低壞帳風險，同時針對DCB用戶之消費項目進行分析以精準行銷並提升ARPU；建議二為推廣以「行動號碼」為數位身份認證（Mobile Connect）之行動支付平台，不僅可增加電信運營商之營收，更能夠滿足消費者追求快速、便利、安全性的需求。 / With the increasing popularity of smart phones and handheld devices, The 4G high mobility speeds and the security, convenience and real-time of mobile payment were improved. In recent years Mobile Payments have become a hot topic between the telecommunications, financial industry, mobile hardware and software manufacturing industry, diversified payment patterns in response. It is the future trend to combine personal mobile devices with financial payments tools so that users can easily make small payment no need to bring their wallet. The proportion of the Mobile Payment by countries in the world is gradually increasing and moving towards a cashless society. Taiwan's telecom operators are also preparing to carve out a niche for themselves in the mobile payment battlefield by launching Direct Carrier Billing （DCB）and Near Field Communication（NFC）related mobile payment application service to increase innovative service experience and customer adhesion, The ultimate goal is to enhance their Average Revenue Per User（ARPU）. This research uses Qualitative Research Methods by collect, collate and analyze secondary data to understand the ideas and practices of observing the successful cases of foreign telecom operators to capture from the past to further understanding and solutions. And in-depth observation of the current domestic telecom operator’s highly bad debt risk in DCB and development situation and dilemma of the NFC related mobile payments. Finally, suggestion one is to facilitate the establishment of "Telecom’s Joint Credit Information Center" to reduce the risk of bad debts and then analyze the consumption items of DCB subscribers for precise marketing to enhance ARPU. Suggestion two is to promote “Mobile Connect” digital authentication solution with “Mobile Directory Number” in mobile payment’s platform. It not only increases the revenue of telecom operators, but also satisfy needs of consumer’s about seeking fast, convenient and safe.