已開發國家中，無論個人或是法人所擁有之財富大多透過金融中介機構管理，因此，財富委由他人管理衍生出現代資本市場中重要的委託關係。委託人與基金管理人產生委任契約時，也必然產生代理問題，即雙方利益不一致所額外增加的成本。為降低代理成本，於委任合約加入對管理人下檔投資風險的要求成為降低代理成本的重要機制。本研究因此探討當基金管理人面對契約存在最低報酬要求時，如何進行最適資產配置決策，並同時分析下檔風險限制改變時對管理人投資行為的影響。研究結果顯示，委任合約增加經理人最低保證收益時，基金管理人傾向增加持股，而經理人風險趨避程度增加時，將減少風險性股票資產，進而持有債券；如果投資目標收益於受委託期間皆不改變，將造成經理人持有債券組合以規避下檔風險，同時卻喪失追求資本利得。 / In most developed countries, financial wealth is not managed directly by the investors, but through a financial intermediary. Hence, the delegated portfolio management is one of the most important principal-agency relationships in the current economy. In addition to that, the principal-agency relationships between the investor and portfolio manager must produce agency cost. In order to reduce these costs, the mandates in the contract become an important factor in reducing the principal-agent problem in a delegated portfolio management framework. In this research, we study how fund managers do asset allocation when they face some guaranteed returns and the relationships between the choices of mandates and the behavior of fund managers. We suppose that the objective of the delegated fund managers is to maximize the expected utility of wealth of the long-term fund at the end of each period and fund managers also have to fulfill some constrains given at the beginning. Finally, we explain how fund managers do optimal asset allocation by our model and some numerical analysis.

本研究以Plantinga（2010）對退休金基金所提出之績效歸因模型應用於臺灣的壽險公司，並檢定每單位負債下，壽險公司的資產負債配置不匹配是否會影響到公司的投資收益；以及檢定在公司規模及壽險公司負債成本兩因素做為控制變數之下，資產負債不匹配程度是否會影響到壽險公司的投資報酬率的部分，得到以下結果： （一） 在2007年至2012年間，每單位負債下，壽險公司的資產負債配置不匹配會影響到公司的投資收益，且影響為負。 （二） 壽險公司的盈餘資產積極投資報酬率，與其負債成本間有顯著的正向相關；和公司規模間有正向相關；而與資產負債不匹配程度無明顯的相關性。 （三） 壽險公司的名目資產積極投資報酬率，與其資產負債不匹配程度有正向相關，但並不非常顯著；而與公司規模無明顯的相關性；與負債成本相關性之間的關係，亦不是非常顯著。 此研究應用Plantinga（2010）的內部績效衡量的模型，其以每單位負債表示報酬率，更能清楚看出，若在不增加自有資本的前提下，每個績效歸因對公司負債的影響大小，可以做為業界之參考。 關鍵字：資產配置、內部績效、追蹤資料、資產負債不匹配程度 / This research of pension fund is conducted based on Plantinga’s (2010) performance attribution model and applied to insurance companies in Taiwan; The research tested how insurance companies investment return per unit of liability and investment rate of return would be affected would be affected under the circumstance of asset-liability-mismatch based on two variables: company size and cost of capital. The result is shown below: （i） Under unit liability, the asset-liability allocation has negative effect on the return of insurer during 2007 to 2012. （ii） There is a significant positive relationship between insurer’s cost of liability and surplus asset active return rate; positive relationship between insurer’s liability scale and surplus asset active return rate; no significant relationship between asset-liability mismatch level and surplus asset active return rate. （iii） There is a positive but not significant relationship between asset-liability mismatch level and nominal asset active return rate; no significant relationship between insurer’s liability scale and nominal asset active return rate; no significant relationship between insurer’s cost of liability and nominal asset active return rate, either. The research, which is based on Platinga’s (2010) internal performance measurement model, demonstrates the degree of influence on company’s liability disregard of any capital injection. The result can be used as industry reference. Key words：asset-liability allocation, internal performance measurement model, asset-liability mismatch level, panel data

隨著國民所得水準及個人知識水準的提升，再加上人口結構的高齡化，國人財富管理的需求逐漸浮現，而如何依據個人的財務狀況，建構一套穩健成長的個人理財規劃，以實現家庭資產的經濟效益最大化，就成為當前財富管理市場面臨的重大議題。 然而，台灣的財富管理市場才剛萌芽，故綜觀現有文獻及實務上之論述，有關記載個人理財規劃服務的相關報導實為有限，且多屬片段，缺乏完整性之服務模式及可支援計算的理財軟體，因此，本研究之目的即針對個人理之需求建構一套理財服務模式及軟體，並透過此服務模式及軟體的實地操作，為投資人建立一套最適化的個人理財規劃。 本研究首先根據相關文獻，對個人理財規劃的理論架構進行完整的介紹，其次討論台灣目前財富管理事業的現況，接著以個人理財規劃的理論為基礎，建構一套理財規劃服務模式及軟體，驗證所提出的架構、流程、模式與方法的可行性與績效。最後，可以藉由本文研究，提供金融機構之財富管理部門在建置理財規劃服務模式及相關理財系統開發作為一個參考依據。

過去的文獻中，資產配置的方法不外乎效率前緣、動態資產配置等方式，但是，單獨針對銀行探討的文章並不多見，所以本文的貢獻在於單獨針對銀行的資產配置行為進行研究，希望能利用『演化策略演算法』，進行『模擬最佳化』來解決銀行資產配置的問題。基本上這個方法是由兩個動作結合而成，先是模擬，再來尋求最佳解。所以，資產面我們選擇了現金、債券、股票、不動產四項標的，而負債面則模擬了定存、活存與借入款這三項業務，然後透過重複執行模型的方式來求出最適解。並與單期資產配置方法下的結果作一比較，發現運用演化策略演算法有較佳的結果，此外，在不同的亂數下，仍具有良好的穩健性，可作為一般銀行經理人參考之用。 / We focus on the bank’s asset allocation problem in this thesis. We use simulation optimization to solve the problem by evolution strategy, which is relatively new in the financial field. Simulation optimization consists of two steps: simulate numerous situations and search for the optimal asset portfolios. In the simulation, we set up four assets, including cash, bond, stock, and real estate and three business lines, including demand deposits, time deposits, and borrowings. Then we search for the optimal solution by running the ES algorithm. The results show that simulation optimization generates better results than one-period asset allocation. Furthermore, the evolution strategy method generates similar results using different random numbers.

隨著經貿全球化與自由化，各項商業活動漸無國界概念，跨國企業遊走各國，善用全球生產要素，但資源有限，企業永續經營與成長，不能只靠有限的土地、勞動力與資本等傳統生產要素，創新研發與知識累積能力成為比傳統生產要素更重要的關鍵，研發國際化更是全球經貿發展不可逆的趨勢。 本研究以2007年臺灣1,770家製造業廠商為對象，運用Probit及Tobit二種模型，分別探討在不同技術來源下，海外投資廠商決定投入海外研發以及投入資源多寡的決定因素。研究結果發現，「廠商規模」、「行業別」、「進入模式」、「國際化深度」、「投資地區」、「市場考量」以及「母國提供技術」為臺灣對外投資廠商決定投入海外研發與否之重要影響因素。一旦決定投入海外研發後，研發資源投入多寡的決定因素則有所變化，廠商規模大小與投資行業、獨資或合夥、市場夠不夠大等重要性降低成不顯著，相對的盈利與否影響性提升，但卻是負向影響關係。同時，本研究參考社會心理學領域的「調節變數」概念，探討「技術來源」是否具有調節效果，實證結果也證實不同的技術來源，確實會影響解釋變數與被解釋變數（海外研發配置）之間的因果關係，具備調節效果，這也表示技術來源對於海外研發配置確實扮演重要的關鍵角色。 / Along with globalization and liberalization, the trade goes around the world borderlessly. In order to take advantage of relatively cheap land and labor, multinational corporations extend business worldwide. However, due to the limitation of natural endowments and human resource, Innovation becomes the key factor, which plays a more-important-than-ever role for business sustainable development. This paper examines the determinants of overseas R&D of Taiwanese multinationals; including whether to invest in R&D and how to allocate. Our empirical results indicate that the firm size, IT industry, entry mode, internationalization level, investment location, market motivations and technology acquisition are the determinants of overseas R&D investment. Furthermore, whether above determinants remain significant when Dependent Variable turns to be overseas R&D allocation? The empirical results suggest that firm size, industry category, entry mode and market motivations are no more significant. Instead, profitability becomes significant with negative affect. Besides, we also found the strong effect of technology acquisition on overseas R&D investment and allocation. Different technology source acquired does play a moderating role in the relationship between independent variables and overseas R&D.

本研究的第一部份是利用有效存續期間與有效凸性來衡量人壽保險人的利率風險。我們發現Tsai (2009)指出的壽險保單準備金之有效存續期間結構並非一般化的結果。當長期利率水準高於保單預定利率及保單解約率敏感於利差時，準備金之有效存續期間會呈現與Tsai (2009)相反的結構。我們進一步發現準備金之有效凸性會亦有可能呈現負值，且不易依照保單到期期限歸納出一般化的結構。負值的有效凸性起因於準備金並非利率的單調函數，且準備金與利率的函數關係隨保單到期期限而不同。我們的研究結果可以幫助人壽保險人執行更為精確的資產負債管理。 本研究的第二部分是利用模擬最佳化的方法，幫助銷售傳統壽險保單的保險人求解出適切的業務槓桿與資產配置策略。我們假設保險人在考量破產機率與報酬率的波動之下，將資本與淨保費收入投資於資本市場中，以追求較高的業主權益報酬率。以業務槓桿與資產配置相互影響為前提，我們求解出適切的業務槓桿與多期資產配置策略，並分析在不同的業務槓桿之下，保險人多期資產配置的差異。 / In the first part of this doctoral dissertation, we focus on a proper measurement on interest rate risk of life insurer’s liabilities, policy reserves, by incorporating the general effective duration and effective convexity measures. Tsai (2009) identified a term structure of the effective durations of life insurance reserves. We find that his results are not general. When the long-run mean of interest rates is higher than the policy crediting rate and the surrender rate is sensitive to the spread, the term structure would exhibit an opposite pattern to the one in Tsai (2009). We further find that the effective convexities might be negative and the term structure of the effective convexities exhibits no general pattern. The irregularities originate from negative effective convexities result from the relationship between mean reserves and initial short rate for different years to maturity. Our results can help life insurers to implement more accurate asset-liability management. In the second part, we analyze asset allocation and leverage strategies for a life insurer selling traditional insurance products by using a simulation optimization method. We assume that an insurer invests equity capital (from its shareholders) and premiums it receives from policyholders by choosing a portfolio intended to maximize the annual return of equity minus the penalty of insolvencies and risks. We regard the leverage as an internal factor in asset allocation. Based on these assumptions, we get a promising multiple-periods asset allocation and leverage, besides analyzing how leverage affects asset allocation strategies.

有別於傳統新聞學研究探討記者與消息來源的互動關係，因礙於研究對象的預設限制，因而相關研究大多僅探討記者如何與消息來源培養、鞏固、強化及修補關係，對於記者如何尋覓至消息來源卻少有著墨。有鑑於此，本研究試圖跳脫以往僅以政治人物或公關人員作為研究對象，乃以低社會能見度之小人物作為消息來源，試以探究記者在尋找小人物消息來源的過程中，如何運用環境周遭的物質工具及人際關係網絡等中介資源以達成任務。 透過深度訪談及參與觀察方式，本研究發現記者尋找小人物消息來源乃是一種富涵新聞機構性的行為，在尋人初始階段，記者乃會對於尋找何種類型的小人物存有特定假設；然而，假設的形成並非全然由表徵系統進行控制，而是一循環建構的過程；另一方面，在新聞常規的作用之下，本研究發現小人物新聞乃需與其他新聞類型進行版面競爭，此時，在突發新聞不可獨漏的情況下，又需兼顧因時事議題所發展的小人物專題，記者乃會利用傳播或資訊科技工具來縮短一般新聞的處理時間，進而延長小人物新聞資訊素材的蒐集時間；再者，新聞常規亦會造成小人物新聞遺漏的現象產生，而記者亦會適時選擇特定傳播或資訊科技工具以彌補小人物新聞遺漏的缺口。 除此之外，人際關係網絡更是記者尋人不可或缺的資源之一。本研究發現記者在選擇資訊中間人時，乃會依據雙方之間的關係特質，以形成各式不同策略來與資訊中間人應對，藉以獲取尋人線索或相關資訊素材，尤其記者乃會利用與自身擁有弱連結關係的資訊中間人，作為新資訊擷取與流通的橋樑，而利用強連結關係作為與這些弱連結關係資源交換的籌碼。 綜言之，記者尋人行為乃是一種「配置型智能」的展現，將原先大腦所需承擔的認知負荷交由環境中各式中介資源分散處理；另一方面，記者尋人行為更加蘊含「行動中思考」之過程，任何中介資源的使用，乃是端視記者當下所處情境，是否賦予記者視見中介資源之功能性用途。由此可知，記者尋人的知識即是展現在記者審時度勢的功夫上，以適時運用環境周遭的中介資源，協助解決任務、尋覓至小人物消息來源。 / As previous studies have emphasized on journalist-source relationship for a long time, they provide a jumping-off point for this study to divert from them. In terms of traditional research subjects (politicians and public relations), most of those studies mainly focus on how journalists develop, cement, augment and repair mutual relationship with their sources. However, the question of how journalists seek for their sources has been rarely discussed. Therefore, this study attempts to turn to low-status sources (i.e. ordinary people) and examine how journalists manipulate artifacts and social networks to seek for them. This study conducted by in-depth interview and participant observation shows that the institutionalization of newspapers makes big impacts on journalists’ people-seeking behavior. At the first phase, journalists will be cultivated to form specific hypotheses for the type of sources they are seeking for. Second, it may cause ordinary people news necessary to compete with other news genres for news pages. Finally, it may also cause some of ordinary people news stories to be omitted. However, even though journalists’ people-seeking behavior is constricted to the social structure, they are still able to exercise their agency in the use of information and communication technology to extend the time of newsgathering and to ensure all potential ordinary people news will be found. Moreover, those hypotheses for the people they are seeking for are not totally controlled by journalists’ representational systems either but constituted recursively. In addition, social networks are also one of indispensable resources for journalists’ people-seeking behavior. According to research results, the factor that impacts journalists on deciding which intermediary they will ask help for is based on mutual relational characteristics. Journalists will use weak ties to access new information and strong ties as a bargain chip to negotiate with weak ties for resource exchange. In sum, during the process of people-seeking, journalists’ cognitive functions will be distributed and offloaded to the mediated resources in the situation in a cooperative way to ease the cognitive burden imposed on their brains. In addition, the usage of mediated resources also depends on the situation journalists stay in, which enables them to perceive the function of each mediated resource. All in all, journalists’ knowledge of people-seeking behavior rests on how they consider the situation and manipulate mediated resources properly to solve their tasks.

傳統參數隨機成本邊界模型需事先假設其函數型態，但真正的函數型態未知，若是假設錯誤的函數型態可能存在模型設定誤差，另外過去估計成本函數時，大多著重於技術效率的衡量，而忽略配置效率，如此一來，將導致模型參數估計產生偏誤，影響後來效率的計算。基於上述的問題，本研究將應用半參數隨機成本邊界模型且同時考量技術效率與配置效率，不但函數設定具有彈性且能正確的衡量效率值，然而在考量配置效率的衡量後，增加模型估計的困難度，使得估計收斂不易，因此本研究提出一個五階段的估計步驟，應用蒙地卡羅模擬進行分析，該估計步驟不但能簡化估計且能得到技術與配置效率的一致性估計。最後則將本研究提出的估計方法應用在實證研究上，探討14個東歐國家在轉型期間其技術與配置效率的衡量，使用不平衡縱橫資料，共340家商業銀行進行實證分析。 / Conventional parametric stochastic cost frontier models are likely to suffer from biased inferences due to misspecification and the ignorance of allocative efficiency (AE). To fill up the gap in the literature, this article proposes a semiparametric stochastic cost frontier with shadow input prices that combines a parametric portion with a nonparametric portion and that allows for the presence of both technical efficiency (TE) and AE. The introduction of AE and the nonparametric function into the cost function complicates substantially the estimation procedure. We develop a new estimation procedure that leads to consistent estimators and valid TE and AE measures, which are proved by conducting Monte Carlo simulations. An empirical study using unbalanced panel data on 340 commercial banks from 14 East European countries over the period 1993-2004 is performed to help shed some light on the usefulness of our procedure.

歐盟保險業者於2005年開始，將強制採用IFRS之相關規定。而過去IFRS對於保險業之影響主要以理論探討為主，因此本研究以歐盟壽險業為主要研究對象，探討IFRS適用對壽險業之影響。研究結果發現歐洲壽險業者於適用IFRS後，整體而言的確對於其盈餘波動程度產生正向影響；在資金成本方面則為負向之影響。有關投資配置之影響部分，IFRS之實施對於壽險業者之投資決策並未產生顯著之影響。另一方面，壽險業者之審計公費有降低之趨勢，但其資訊揭露成本有顯著增加之趨勢存在。 / Beginning in 2005, compliance with the International Financial Reporting Standards (IFRS) has been required in the European Union insurance industry. In the past, the influences of IFRS on the insurance business primarily take the theory discussion. The study takes the European Union life insurance industry as the main objects of study, trying to discuss what the influences of life insurance industry to adopt IFRSs. The study finds that after European Union life insurance industry adopting IFRS, the earning volatility increase and cost of capital would decrease. But in the investment allocations, the influences of IFRS are not significant. In the other hand, audit cost would decrease and information disclosure cost would increase.

巴塞爾銀行監督委員會(Basel Committee on Banking Supervision, BCBS) 於2010年發布巴塞爾資本協定三。為強化銀行流動性風險管理，新增兩項流動性風險量化衡量指標：流動性覆蓋比率(Liquidity Coverage Ratio, LCR)以及淨穩定資金比率(Net Stable Funding Ratio, NSFR)。我國於2015年開始將流動性覆蓋比率納入監管要求，亦將於2018年開始導入淨穩定資金比率。然而在提高銀行風險控管及標準的同時，銀行需考量其股東權益報酬。新規範的實施使銀行需要進行調整以符合法規，過往鮮少有研究針對本國銀行探討其資產配置調整與結構調整。本研究除探討個案銀行如何在巴塞爾資本協定三框架下調整其資產負債配置與結構，更進一步探討其各項調整對銀行之獲利能力以及各項法定比率之影響，希望能幫助銀行在未來調整結構之前能更了解其決策所帶來之影響。 本研究發現，在不提高資產負債表規模的情況下，可以透過銀行結構調整達到巴塞爾資本協定三於2019年之標準，同時提高銀行獲利能力；在適度提高資產負債表規模的情況之下，其獲利能力高於不提高資產負債表規模之情況。此外，本研究針對不同情境探討銀行應如何調整資產負債配置與銀行結構。風險趨避情境相較於風險偏好下，應在存放款方面，吸收更多長天期之存款、降低長期放款占比；資產配置方面則應增加政府公債占比。由於巴塞爾資本協定三採階段性實施，本研究針對個案銀行2015到2019 年之資產負債配置與銀行結構做研究，發現個案銀行隨著法規越趨嚴格，應提高公司債占比並同時降低權益類等相對風險較高之資產占比；另一方面為達到淨穩定資金比率要求，銀行應提高其長期存款占比。最後，本研究針對各項結構與資產負債配置調整做更深入的分析，探討其對於各項指標之敏感度，以實際的量化數字表示每項變動的影響，以利銀行在做決策時更了解其決策之利與弊。 / Basel Committee on Banking Supervision (BCBS) released Basel III in 2010. In order to ensure the maintenance and stability of funding and liquidity profiles of banks’ balance sheets, two liquidity standards, Liquidity Coverage Ratio(LCR) and Net Stable Funding Ratio(NSFR), were introduced in Basel III. To in line with international norm, Taiwan government plans to implement LCR and NSFR in 2015 and 2018 respectively. However, there is a trade-off between return and risk. With the implement of new law, how to adjust banks’ asset allocation becomes a critical issue. In this study, we focus on business structure and ways to adjust A bank’s asset allocation. We found that A bank can meet government’s requirements and increase it’s return on equity without increasing balance sheet size by adjusting business structure; In the situation where balance sheet size is increased, A bank can meet the requirements with higher return on equity than where the balance sheet size isn’t increased. In three different scenarios: risk seeking, risk neutral and risk aversion, we found that A bank should increase more long-term deposits and decrease long-term loans in risk aversion scenario than in risk seeking scenario. In risk aversion scenario, A bank should also hold more government bonds than in risk seeking scenario. From 2015 to 2019, the requirements become stricter and stricter, A bank should hold more corporate bonds and less securities. At the same time, A bank should increase more long-term deposits to meet the NSFR requirement. The research also shows how business structure and asset allocation changes can affect A bank’s related required ratio and return on equity. Our findings can help A bank makes more precise decision by knowing actual quantitative influence before they implement the new policies.