在九零年代由於韓默大力提倡流程再造以及資訊科技的突飛猛進，加上市場逐漸全球化的帶動下，國內外許多知名企業也因應這樣的風潮不斷推動企業變革與組織再造，希望透過變革的過程使企業本身脫胎換骨，但是後來發現大部分的企業改造成功的案例並不多見，尤其許多知名大型企業希望導入ERP系統來推動企業再造，同樣成功的案例也不多見，而失敗的案例卻屢見不鮮。 我發現在實務界也鮮少有一個較全面性的觀點、分析架構與模型來解釋變革前後的相關關係。是什麼樣的原因阻礙企業再造? 而什麼樣的變革過程可以產生如此大的績效改善? 我們應該用什麼樣的觀點來看企業改造這些相關的議題? 因此基本上，本論文就是希望透過以企業改造最適搭配架構為主體的角度，來看價值創造、組織轉型、企業再生工程、並利用組織轉型架構模式為基礎，來解析四個台灣本土型的企業改造，希望提供一個可供思考的理論模型，可以更清楚、更容易了解企業改造當中相關因素的關係與關連性。 本論文的目的就是從價值創造與組織轉型的觀點來探究企業改造的轉型內涵、轉型過程以及形成原因。企業以價值創造、組織理論、企業轉型、企業再生工程、最適搭配架構等理論或架構模型，來釐清這些複雜的現象，希望更能了解價值創造與組織轉型的相關的變化與影響，並透過組織轉型架構模型的分析與解釋，可以提供理論研究或是實務應用上思維的參考。 / The concept of business process reengineering, advocated by Michael Hammer in the 1990s, coupled with the innovation of information technology and the globalization, many of the well-known enterprises started to leverage organizational transformation to improve their performance. However, there have not been many successful examples but a lot of failure. I also found that there hasn’t been much analytical framework or model to explain the differences and the interrelations before and after the transformation. What are some of the major obstacles that keep businesses from engaging in the transformation? What kind of changing processes can result in such dramatic performance improvement? What perspective should we adopt to examine the issues related to business transformation? This thesis aims to examine value creation, organizational transformation, business process reengineering through the role of strategic fit. It also intends to adopt the organizational change framework as a basis to analyze four companies in Taiwan that have gone through such business transformation. I wish to build a clearer and understandable relation and connectivity among relevant factors for business transformation through this thesis. The purpose of this thesis is to explore why, what, and how business transformation occurs from the viewpoint of value creation and organizational change. I use value creation, organization theory, business transformation, business process reengineering, and strategic fit to elucidate the theory and framework, hoping to clarify relevant changes and impacts. Through the analysis and clarification, I further aim to be able to provide guiding principles on organizational transformation framework both in theory and in practice.

隨著國際金融市場的開放與金融商品的多元化，投資人所面對的投資機會增加，相對地也面臨更多金融市場波動的潛在風險。因此，為了規避金融資產價格的不利波動，股價指數期貨等相關金融期貨應運而生。然而，當投資者決定利用期貨市場進行避險交易時，隨即面臨該持有多少數量的期貨契約這一問題。針對此一個重要課題，學術界與實務界常透過估計最適避險比率，作為從事避險交易之參考。 由以往研究得知，現貨與期貨市場報酬率間存在結構轉變的動態特徵，故最適避險比率之估計應考慮市場不同狀態的波動性。有鑑於此，本文乃嘗試將結構轉換模型應用於最適避險比率之研究，並以1983年至2001年的S&P500指數現貨與指數期貨週報酬率為實證分析之標的。由實證結果發現，最適避險比率於不同的市場波動狀態呈現不對稱的現象，亦即，當市場屬於低波動狀態時，避險比率較高;市場為高波動狀態時，避險比率則較低。應用結構轉換模型除了可以獲得較有效的避險比率外，整體而言，就降低資產組合風險的角度衡量，金融市場參與者可藉由結構轉換模型之設定提高其所持有資產的避險效益。

臺灣現有移轉計價之規範未有明確的罰則(Penalty)，因而衍生許多稅負規避的問題。本文採用動態最適化(Dynamic Optimization)的模型來觀察跨國企業移轉計價的行為，在面臨懲罰與兩國稅差時企業會如何利用移轉價格及數量來進行獲利移轉以規避稅負，進而分析政府調降稅率以降低稅差並吸引獲利移轉的稅率政策對企業移轉計價的影響，最後再探討罰則在法規制定上的必要性。結果顯示，預料到的稅率政策在長期能有效減少企業從事移轉價格操弄(Transfer Price Manipulation)，但在短期﹝除了宣告那一刻之外﹞反而更助長移轉價格操弄的發生，特別是當政策宣告至執行之期間過長時更為嚴重。此外，由先前的文獻可知無罰則下的最適移轉價格為一邊界解(Boundary Solution)，本文也證明了此邊界解亦可能出現於有罰則的情況下。然而，罰則的存在創造了內部解(Interior Solution)的可能性，此內部解較邊界解更趨近於常規交易價格，因此我們仍建議政府制定罰則。 / This paper employs a dynamic optimization model to determine the equilibrium price and quantity in a multinational firm (MNF) faced with a threat of a penalty. We analyze the impact on transfer pricing that arises from the unanticipated and anticipated permanent taxation policy of home country and host country. Anticipated taxation policy for reducing tax differentials can reduce transfer price manipulation in the long term. However, except for the moment of announcement, such reduction of transfer price manipulation does not occur in the short term, especially in the case of a large time lag of policy. We also show that the boundary solution is possible even though transfer price penalty exists and suggest that governments impose penalty which creates the possibility of interior solution.

本文利用模擬最適化（Simulation Optimization）的技術，來找出適合投資人之最佳資產配置。模擬最適化係為一種將決策變數輸入而使其反應變數得到最佳化結果之技術，在本篇中，決策變數為各種投資標的之資產配置，而反應變數則為投資結果之預期報酬與標準差，模擬最適化可視為一種在可行範圍內尋求最佳解之過程。本篇中模擬最適化之方法係採演化策略法，最適化問題則為具放空限制之多期架構。我們亦進一步與各種傳統的投資保險策略比較，包括買入持有策略（Buy-and-Hold）、固定比例策略（Constant Mix）、固定比例投資保險策略（Constant Proportion Portfolio Insurance）及時間不變性投資組合保險策略（Time-Invariant Portfolio Protection），以驗證模擬最適化的有效性，並以多種評估指標來衡量各種策略績效之優劣。 由實證結果發現，利用模擬最適化求解出每月的最適資產配置，雖然造成每期因資金配置比例變動而提高波動性，另一方面卻能大幅的增加報酬率。整體而言，模擬最適化技術的確能夠有效提升投資績效，使得最終財富增加，並且得到較大的夏普指數及每單位風險下較高的報酬。 / This paper applied simulation optimization technique to search for the optimal asset allocation. Simulation optimization is the process of determining the values of the decision variables that optimize the values of the stochastic response variable generated from a simulation model. The decision variables in our case are the allocations of many kinds of assets. The response variable is a function of the expected wealth and the associated risk. The simulation optimization problem can be characterized as a stochastic search over a feasible exploration region. The method we applied is the evolution strategies and the optimization problem is formulated as a multi-period one with short-sale constraints. In order to verify the effectiveness of simulation optimization, we compared the resulting asset allocation with allocations obtaining using traditional portfolio insurance strategies including Buy-and-Hold, Constant Mix, Constant Proportion Portfolio Insurance, and Time-Invariant Portfolio Protection. We also used many indexes to evaluate performance of all kinds of strategies in this paper. Our empirical results indicated that using simulation optimization to search for the best asset allocation resulted in large volatilities, however, it significantly enhanced rate of return. As a whole, applying simulation optimization indeed gets the better performance, increases the final wealth, makes Sharpe Index large, and obtains the higher return under per unit risk.

投資型商品連動於特定資產，保險人除了面臨原有的核保風險，更需承擔部分的財務風險。傳統保險商品的純保費價格等於其預期損失，而投資型商品的保險給付依據投資標的波動，保險人的預期損失不易估算，傳統精算的評價方法不完全適用於投資型商品。保證最低給付的給付結構使得投資型商品其有選擇權的特質，Brennan與Schwartz(1976)首先利用選擇權定價理論探討附有保證最低給付投資型商品之價值與避險策略，爾後亦有許多文獻以此方向加以著墨，但選擇權定價理論是基於市場為完全市場的假設，保險市場為不完全市場，以完全市場假設之理論評定保險商品之價值實不合理。本為假設保險人面臨的風險為核保風險及財務風險，財務市場為完全市場，保險人可以藉由市場上的各種金融商品建構避險組合規避財務風險；而預期死亡人數與實際死亡人數所產生的核保誤差，保險人無法利用避險組合完全地規避，因此保險市場為不完全市場。 在不完全市場中請求權的價值牽涉投資者主觀的風險偏好，不存在唯一的平賭測度，請求權的價格也不唯一，最適避險策略依請求權的價格調整，所以投資型保險商品的價格不再等於其公平價值，真正的成交價格應落於買賣價差之中。本文引用Mercurio(1996)的結果，利用二次效用函數，以極大化保險人期末財富之效用為目標，建構生存險的合理價格範圍。以二元樹模型描述股票的波動，分別模擬五年、十年及十五年投資型生存險之價差範圍，保險人的風險規避程度、保單期限以及保證金額的高低將影響商品價差範圍的大小。 關鍵字：不完全市場、效用函數，買賣價差、最適避險策略 / Investment-linked life (LIL) insurance policies integrate the attributes from the mutual fund by introducing the investment options to the policyholders and life insurance through the benefit payments shielding the unexpected events of the insured. Since the execution of the implied options depends on the policyholder's health status. Actuarial equivalent principal and non-arbitrage pricing theory are used in evaluating the prices for LIL insurance policies. Brennan and Schwartz (1976) initially employ the option pricing theory in examining the pricing and hedging strategy for LIL insurance policies with minimum guarantees. Most published literatures are focusing on this issue adopting the B-S methodology. Since the values of the LIL policies cannot be replicated uniquely through the self-financing strategies due to underwriting risks of the insurance market. Insurance market does not satisfy the completeness assumptions, Due to lack of a unique martingale measure under market incompleteness, the utility assumption of the policyholder is involved in the pricing issue. Insurance pricing must consider the risk attitude of the investors in the market. Hence the cost the LIL insurance policies are not necessarily equal to the fair market prices. The market value should fall within the range of the bid and ask prices. In this study, we follow the approach in Mercurio (1996) by adopting the quadratic utility function and compute the reasonable range of the prices based on maximizing the terminal health utility function. Binary tree method is used in modeling the asset dynamics. Then the numerical computations are performed using endowment LIL insurance policies with 5, 10 and 15 years of duration. Based on the results, we find that the risk attitude of the policyholder, the policy duration and minimum amounts of the guarantees significantly affect the bid-ask price spread of LIL insurance policies. Keywords: market incompleteness; utility function; bid-ask spread; optimal hedging strategy.

C公司係台灣少數有能力以統包商角色進軍國際工程市場之工程公司，然在國際化經營發展過程中，C公司對本身在這個產業的定位是什麼？C公司的核心價值在哪裡？C公司的競爭策略有何優勢？C公司如何改變體質以迎接新世紀的挑戰？C公司如何為股東創造最大的價值？本研究以企業評價(Valuation)及價值創造(Value Creation)為主軸，檢驗C公司本身體質並探討未來經營策略可行之方案。 本研究針對C公司過去五年的財務資訊分析各項影響企業價值之因子，先評析C公司各項價值因子之優劣勢，判斷C公司目前之價值定位，再採用現金流量折現法評估股價並做敏感度分析，認為影響C公司企業價值之關鍵因子，其重要性依序為營業利潤率、營收成長率、競爭優勢期間、加權平均資金成本、營運資金投資、固定資產投資及現金稅率；根據這些關鍵價值因子，本研究建議C公司未來之營運策略、投資策略及融資策略之擬定應以價值創造為原則，可採行之方向歸納如下： 一、為了創造價值，個案公司之經營策略應朝產品定位與差異化方向發展。 二、短期以改善營業利潤率為首要目標，加強成本控管，改善盈餘品質。 三、把握國際工程景氣循環高點所帶來之商機，適度提升營收成長率。 四、為維繫競爭優勢期間，長期應從成本領導策略轉化為差異化策略，以此衍生創造差異化之購併策略及多角化策略。 五、購併策略以垂直整合優先於水平整合。 六、為降低加權平均資金成本，融資策略在不違反對銀行之財務承諾前提下，適度提高財務槓桿，維持最適資本結構。 七、加強在建工程與固定資產管理、儘量減少固定資產投資、處分非核心事業，並以不失去控制權原則引進外來資本擴張前景看好之關係企業。 八、財務構面的績效衡量指標應以現金流量為主要評量基礎，指標之設計以成長性為重點。

本研究探討長期投資人在面臨通貨膨脹風險時的最適投資決策。就長期投資者而言，諸如退休金規劃者等，通貨膨脹是無可避免卻又不易被數量化之風險，因為各國僅公布與之相關的消費者物價指數而沒有公布真實通貨膨脹數值，因此我們延伸Campbell和Viceira(2001)及Brennan和Xia(2002)的模型假設，以消費者物價指數的資訊來校正原先假定符合Vasicek模型之通貨膨脹動態過程。本研究之理論背景為：利用貝式過濾方法(Baysian Filtering Method)，將含有雜訊之消費者物價指數，透過後驗分配得出通貨膨脹動態過程。利用帄賭過程(Martingale Method)求解資產之公帄價格。再引進定值相對風險趨避(Constant Relative Risk Aversion，CRRA)的效用函數，求出最適投資組合下之期末累積財富、各期資產配置以及效用值。 / 本研究歸納數值結果如下： 一、投資期間越長，通貨膨脹學習效果越顯著。投資期間達25年以上時，有學習效果之累積財富為無學習效果時兩倍以上，25年為2.36倍；30年為2.18倍。此外，學習效果對投資人效用改善率於長期投資時也較顯著，投資10年效用改善率為35%，而投資30年則高達1289%，呈非線性成長。以上結果顯示：資產在市場上累積越久，受到通膨影響越明顯，更需要以學習方式動態調整資產配置進行通貨膨脹風險管理。 / 二、風險較趨避之投資人，CRRA參數值越大；於最適投資組合下之期末財富較少，因為風險較趨避投資人偏好低波動度資產組合。風險容忍度低之投資人較需要通貨膨脹之學習，否則效用減損過高，例如CRRA參數為1.5之投資人30年後效用減損65%，CRRA參數為4之投資人效用減損達96.5%。以上數據顯示：風險趨避投資人對風險關注程度較高，考慮學習效果時，較能根據目前通貨膨脹調整資產配置。 / This study examines the optimal portfolio selection incorporating inflation risk learning adjustments for a long-term investor. For long-term investors, it is inevitable to face the uncertainty of inflation. On the other hand, quantifying inflation risk needs more effort since the government announced the information on Consumer Price Index (CPI) rather than the real inflation rates. / In order to measure the inflation rate in planning the long-term investment strategies, we extend the works in Campbell and Viceira (2001) and Brennan and Xia (2002) to construct a stochastic process of the inflation rate. The prior distribution of inflation rate process, which is not directly observable, is assumed to follow the diffusion process. Based on the information of CPI, we then employ the optimal linear filtering equations to estimate the posterior distribution of the inflation rate process. Through these mechanisms, the inflation rate process is closer to reality by learning from CPI. We also construct the optimal portfolio strategy through a Martingale formulation based on the wealth constraints. The optimal portfolio strategies are given in closed-form solutions. / Furthermore, the importance of learning about inflation risk is summarized through the numerical results. (1) When the investment interval is longer, the learning effect becomes more significant. If the investment horizon is longer than 25 years, the wealth accumulation under learning will be twice more than that without learning effect, e.g., the wealth accumulation is approximately 2.36, 2.18 folds at the end of 25, 30 years. Utility increase under learning also become larger for long-term investor, e.g., the utility values will improve 35% after considering learning ability on inflation from 10-year interval, improve 1289% from 30 years. / (2)When the CRRA parameter increases, the investor have lower risk tolerance; and their wealth accumulation become less due to the lower volatility portfolio. A conservative investor requires more learning ability given the inflation, otherwise their utility value will be reduced, e.g., the utility values will be reduced 35% when CRRA=1.5 after 30 years’ investment, 96,5% when CRRA=4.

本文是以Candel-Sánchez and Campoy-Miñarro (2004)的績效契約制訂為基礎 ，開放單獨由政府制訂契約的假設，賦予央行與政府部門雙方皆具有談判力，並利用Nash談判解(Nash bargaining solution)做出最適績效契約。此外，我們也討論政府央行的談判力、對薪資的偏好和央行官員保守度在不同工資調整指數下與最適績效契約之間的關係，並分析能影響產出及通貨膨脹穩定性的因素。 經本文的研究分析，我們可以發現:政府的談判力愈大績效誘因基數愈大，此時能有效抑制通膨產生，但是同時也會使產出下降。當工資調整指數趨於零時，政府的談判力將不會對產出造成影響只會降低通貨膨脹率。 央行官員若是愈保守愈重視通貨膨脹帶來的效用損失，會使績效誘因基數下降。其中，本文的分析與Rogoff (1985)的有相同的結果，增加央行官員的保守性雖有利抑制通膨且增加通膨穩定性，另一方面卻打擊產出水準同時會使產出易受外來衝擊的影響。當工資調整指數愈低時，央行官員的保守性也會對績效誘因基數的變動愈大。 央行官員愈關心薪資收入多寡，績效誘因基數就愈低，但是對通貨膨脹與產出的影響則須視談判央行對薪資的偏好程度與最適誘因基數大小而定。政府愈在意營運成本，談判出的最適績效誘因基數會愈低，而且會同時造成通貨膨脹率與產出的上升。 在討論經濟穩定性時，我們發現僅有央行官員保守程度、工資調整指數與隨機干擾衝擊的變異數會對產出及通貨膨脹率的穩定性造成影響;但納入談判協商得到的績效誘因基數，並不會造成經濟體系的波動。我們也發現本文與Rogoff (1985)的結論相同之處在於央行官員極度保守時會完全消除通貨膨脹率，但是會使產出完全反映隨機干擾項的衝擊。

本研究嚐試找出果凍的最適配方，利用品質機能展開將顧客需求和技術項目結合，找出顧客所重視的技術項目，再依此規劃實驗收集資料。以田口方法和迴歸分析法對數據分析，以提出最適配方。 利用田口方法和迴歸分析法兩種方法找尋最適配方，發現依照不同品質特性所找出的最適配方結果是不相同的，而同時考慮兩種品質特性整體損失函數所找出的最適配方，才能使整體期望損失估計值最小（小於兩個品質特性各別所找出最適配方期望損失估計值的加總）。 由於產品時常有多個品質特性，建議找最適配方時，能同時考量各品質特性的總損失，唯有如此才能找到真正使損失最低的最適生產組合。 / The research goal is to try to find optimal setting combination of one product. We take advantage of QFD (Quality Function Deployment) method to combine the needs of customers and producing technologies; by this, we can tell which technologies are more important for customers’needs. After knowing which technologies are important, we could order an experiment to collect raw data. Using Taguchi Method and Regression Analysis Method to analyze the raw data, we can extract optimal solutions. We found that we could get different optimal solution by different character of a product. Therefore, only considering all characters of a product at the same time, we can get the really optimal setting combination; or we just could get sub optimal setting combinations.

本研究主要是針對投資型年金之資產負債管理作探討，其中是就規避利率風險對於資產負債管理上的影響以及分析資產配置最適化作為研究的架構，而所利用的研究方法乃是取決於建構利率隨機模型並輔以免疫理論與Markowitz投資組合理論，以期在規避利率風險的同時，亦能將資產配置達至最佳化。 首先，為實際模擬出符合現實經濟環境變動下的隨機利率期間模型，本研究利用C.I.R利率期間結構模型來建構年金保單期間的利率結構，並且由於投資型年金之保單價值的累積特性，因此本研究同時亦建構出連接保單價值的投資資產之報酬率型態，進而模擬出各期之現金流量以及各項投資資產的存續期間；再者，藉由Markowitz投資組合理論，以在免疫條件之限制下進行最適資產配置之評估。 最後，以某知名的保險公司所推出的投資型年金商品作為本研究之實證對象，透過模擬之方法，將研究模型中之各項參數予以評估，並且根據上述之研究過程將免疫理論與投資組合理論相連接，以檢視投資型年金商品在規避利率風險的狀態下，其最適之資產配置比例是否與現行法令之規範相牴觸，而能給予適時之建議。另外，由本實證結果可知，經由本研究的分析流程，可以有效地給予年金管理者規劃出年金資產負債管理時的最適投資組合比例，並且在增加外國投資資產時，更能有效的增加年金資產之報酬，同時也不影響保險法對於投資資產的比例與總金額之限制。再者，對於探討規避利率風險前後之資產組合之資產報酬之變化時，可以進一步了解到，當年金管理者在運用免疫策略來規避利率風險時，其所面對的風險成本之多寡，以作為制定避險決策時的依據。 / This research explores the asset-liability management (ALM) for the Investment-Link-Annuity. Two aspects investigated in this research are the interest rate risk and the optimal asset allocation. Moreover, the major issue investigated here is the trade-off between the optimal investment return and the hedge of interest rate risk. We refer this trade-off as ALM cost. By using stochastic interest rate model, Immunization theory and Portfolio Selection Model, we construct an ALM model to achieve the optimal asset allocation given on hedging the interest rate risk under the immunization strategies for the insurance company. First, we utilize the public trading data for investment market in Taiwan and in USA from 1985 to 2000 and the investment-link annuity product of a well-know insurance company in Taiwan to simulate the cash flow and demonstrate the implementation of our model. By analyzing different simulations under various scenarios, the empirical results are as the followings: 1.The ALM cost for immunization strategies is very small, and is estimated to be about 1% to 2%. Therefore, we suggest that insurance companies should start to undertake the asset liability management as soon as possible. 2.If relaxing the investment restrictions of Insurance Law or allowing insurance company to invest in foreign investment market, the overall investment return will be increased and the ALM cost will be reduced effectively.