現實社會中，由於人並非如傳統學派所聲稱完全理性制定決策，自1980年以來即產生諸多傳統學派無法說明的現象，因此行為財務學派興起。本篇導入行為財務學的模型，探討當經理人具過度自信與過度樂觀特質時，經理人的特性會如何影響公司價值。研究假設當經理人為風險中立者，可達到公司價值極大化first-best value。若經理人為風險趨避，產生的效用成本將使其無法達成此目標，但此時經理人若具過度自信，則可抵消風險趨避帶來的公司價值減損，而達成股東所希望達到的公司價值極大。除此之外，根據Heaton(2003)模型所聲稱，過度樂觀的經理人無法達成公司價值極大，而本篇修改其模型，得出當公司經理人具過度樂觀特性，是有可能符合股東利益，而達到公司價值極大化的目標。 / In real world, people don’t make decisions depend on rationality. Therefore, there exists many facts that traditional researchers can’t explain since 1980’s and that’s why behavioral finance school arises. In this paper, we use behavioral finance models to discuss when managers are overconfident or optimistic, how their personality will affect the value of company. We find that when a manager is risk-neutral, he can maximize the firm value that we called “first-best value.” However, when a manager is risk-averse, the utility cost will be the huge obstacle to attain the goal. However, if the manager is overconfident, this characteristic will counterbalance the drawback that risk-averse will decrease company value. In addition, according to Heaton’s (2003) model, an optimistic manager can’t maximize firm value. This paper modifies Heaton’s model and finds that when managers are optimistic, it is likely that a manager can meet shareholder’s needs and maximize the firm value.

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.

在總體經濟學中，跨期替代分析方法佔有相當重要的地位。其中跨期替代彈性(the elasticity of intertemporal substitution, EIS)的大小，間接或者直接影響總體經濟中的許多層面，直覺上，例如跨期替代彈性越大，對個人而言，是對當期消費的機會成本提升，使延後消費的意願上升，同時增加個人儲蓄，在正常金融市場情況之下，個人儲蓄金額的增加，將使市場資金的供給量增多，使得企業或個人的投資機會成本降低，經由總體經濟中間接或直接的影響下，則總體經濟成長率應會上升。其中，當消費者效用函數為固定風險趨避係數(constant coefficient of relative risk aversion, CRRA)且具有跨期分割與可加性的特性，加上在傳統經濟學中，假設每個人皆為完全理性的前提下，經由跨期替代分析方法推導後，可以得到相對風險趨避係數(the coefficient of relative risk aversion, RRA)與跨期替代彈性(the elasticity of intertemporal substitution, EIS)恰好是倒數關係。 / 在過去相關研究中，Hansen and Singleton (1983)推估出跨期替代彈性值較大且顯著，但Hall (1988)強調，若考慮資料的時間加總問題(time aggregation problem)， 則前者估計出跨期替代彈性在統計上則不再是顯著；Hall亦於結論提出跨期替代彈性為小於或等於0.1，甚至比0小。在經濟意義上，代表股票市場中投資人的相對風險趨避程度(RRA)極大，直覺上，是不合理的現象，這也是著名的彈性迷思(elasticity puzzle)。於是Epstein and Zin (1991)嘗試建議並修正效用函數為不具時間分割性(non-time separable utility)的效用函數，並得到跨期替代彈性(EIS)與相對風險趨避係數(RRA)互為倒數關係，不復存在的結論。這也說明影響彈性迷思(elasticity puzzle)的原因有許多，其中之一，可能為設定不同形式效用函數所造成。 / 在傳統經濟模型中，假設完全理性的個人決策行為之下，利用跨期替代方法，可以得到跨期替代彈性(EIS)與相對風險趨避程度(RRA)互為倒數關係後，又得到隱含風險趨避程度為無窮大的推估結論。這也是本研究想要來探究的問題，即是彈性迷思(elasticity puzzle)究竟是假設所造成，或者是因為由個體資料加總成總體資料，所產生的謬誤。 / 因此，本研究與其他研究不同之處，在於利用建構時間可分離形式的效用函數(time-separable utility)模型基礎，以遺傳演算(Genetic Algorithms)方法，建構有限理性的人工股票市場進行模擬，其中，模擬方式為設定不同代理人(agent)有不同程度的預測能力，代表其理性程度的差異的表現。 / 本研究發現在有限理性異質性個人的人工股票市場下，相對風險趨避程度係數(RRA)與跨期替代彈性(EIS)不為倒數關係，且設定不同代理人不同的預測能力，亦會影響跨期替代彈性(EIS)的推估數值大小。

本文旨在探討具有捕捉交易密集度特性的波動率測度模型是否能幫助投資者改 善其資產配置的決策。因此，本文分別考量了利用兩種不同價格抽樣方式所計算 出來的實現波動率 (realized volatility) 模型： (1) 日曆時間抽樣法 (calendar time sampling scheme) 與 (2) 交易次數時間抽樣法 (transaction time sampling scheme)。相較於另一廣為應用的一般化自我迴歸條件異質變異 (Generalized Autoregressive Conditional Heteroskedasticity) 模型而言，這兩種實現波動率模型的優點除了在於它們可以捕捉日內資產報酬率的動態變化之外，交易次數時間抽樣法更可以另外捕捉市場的交易密集度。因此利用交易次數間抽樣法所計算出的實現波動率相對提供給投資者較多的訊息。本文利用了West, Edison and Cho (1993) 所提出的資產組合期望效用模型衡量三種波動率測度的預測績效：(1) 實現波動率 - 日曆時間抽樣法 (2) 實現波動率 - 交易次數時間抽樣法 (3) 指數型一般化自我迴歸條件異質變異 (Exponential Generalized Autoregressive Conditional Heteroskedasticity)。我們的實證結果發現，只有在投資者風險趨避係數越小的條件下，此三種波動率測度模型兩兩之間才有較大的期望效用差距；另外，有趣的是，當市場存在異常的交易波動現象時，交易次數時間抽樣法下的實現波動率所產生的期望效用值總是不輸給另外兩種波動率測度模型的結果。 / This paper examines whether volatility measures that account for trading intensity would help investors make better decisions in their asset allocation. Specifically, we consider two versions of realized volatility (RV), namely, one (RV-C) constructed by regular calendar time sampling, and the other one (RV-T) constructed by transaction time sampling. Comparing to models in the GARCH family, both of these two RVs can capture intraday variations of asset return dynamics. In particular, the RV-T incorporates intraday trading intensity, and hence provides even more valuable information for investors. With the utility-based approach developed by West, Edison, and Cho (1993), we compare the predictive performance of RV-C, RV-T, and the EGARCH model in terms of utility generated with each of these three volatility measures. Our empirical results show that the three measures differ from each other mostly when investors are less risk-averse. Most interestingly, the time-deformed RV-T weakly dominates the RV-C and the EGARCH model when the markets are extremely volatile.

由於傳統探討逃漏稅行為之文獻皆假設商品之消費可無限細分，然而假設商品之消費皆可無限細分並不符合現實世界的情況。因此，本文設定一模型包含了可無限細分之財貨及不可無限細分之財貨，目的在於探討納稅人在存在不可無限細分之財貨的環境下是否會改變其逃漏稅決策，進而得出不同於傳統逃漏稅文獻之結論。而為了與傳統逃漏稅文獻相對應，除了商品具不可分割性的假設之外，其餘參數仍沿用傳統逃漏稅文獻之設定：所得、稽徵機率和處罰倍率皆為外生。 透過模型設定，本文得到了三個和傳統逃漏稅文獻十分不同的結論。第一，在商品不可無限分割之下，納稅人願意進行逃漏稅的條件相對於藉由傳統逃漏稅模型所得之條件寬鬆，甚至是願意在對其不利的條件之下進行租稅逃漏。第二，逃漏稅額與稅率之間不全然為單調遞減的關係，其方向並不明確。因而可以改善傳統逃漏稅模型預測最適逃漏稅額與稅率之間為單調遞減關係之結果，使其更加符合現實世界的情況。 第三，在商品具有不可分割性的假設之下，納稅人的風險偏好會因而改變使其不為一純粹的風險趨避者。因此，本文發現若是政府藉由調降政策變數以允許納稅人進行租稅逃漏，則政府之預期稅收會因為允許納稅人逃漏稅而提高，進而得以提升整體之社會福利。最後，在本文的設定之下，最適的處罰倍率不必然為無窮大。 / Traditional tax evasion researches all assumed that consumptions of goods are divisible, but those assumptions do not conform reality. Thus, our research set a model include one divisible good and one indivisible good in order to inquire that if taxpayers change their tax evasion decision under the assumption. In order to correspond to traditional tax evasion researches, our model still practices the settings of traditional tax evasion researches, which include exogenous income, fine rate and probability rate. Through the setting, our research obtained three important conclusions that are different from traditional tax evasion researches. First, under our assumption, taxpayers are more willing to evolve in tax evasions even the conditions are unfavorable to them. Second, the relationship between tax evasion and tax rate is no longer monotone decreasing. Therefore, the conclusion is able to reform the impractical conclusion obtain by traditional tax evasion researches. Third, under our setting, taxpayers are no longer pure Risk-Averter. Hence, we discover that if government slash the policy parameter to encourage taxpayers evolve in tax evasions, expect revenue of government will rise. Since the expect revenue of government rises, social welfare rises as well.