本研究主要分為三個部分：第一個部分探討壽險公司保單組合之最適資產配置；第二個部分探討確定提撥退休金制度下，員工所面臨的資產配置問題；第三個部分則為方法論的比較研究。此外，本文也探討長命風險(longevity risk)等相關議題。本文在Huang與Cairns (2006) 所提出的資產報酬模型下，推導出累積資產價值的期望值以及變異數，並利用套裝軟體的最佳化程式(optimization programming)獲得給定目標函數下的最適投資策略。 在保單組合資產配置之研究方面，我們分別針對保險公司繼續經營的商品以及即將停賣的商品提出合適的資產配置方式。常數資產配置方式(Constant rebalance rule)適合持續經營的商品，變動資產配置方式(Variable rebalance rule)則適合即將停賣的商品。在常數資產配置方式下，我們能夠得到投資組合的效率前緣線。此外，不管是何種資產配置方式，當保單組合的保單到期日較近時，保險公司必須增加其所持有的現金比例。 在確定提撥制下最適資產配置問題的研究方面，本文的結果符合一般退休基金經理人所採取的生命週期型態投資方式。本研究發現在Lee-Carter模型之下，考慮時間加權可以增加模型的預測能力。而在考慮長命風險下，員工必須採取更積極的投資策略。 本文決定資產配置之方法為預期模型(Anticipative model)，其在評價日時即決定未來的決策，不考慮新訊息對決策的影響。考慮新訊息會對決策產生影響的決定資產配置方法為適應模型(Adaptive model)。在第五章的研究裡，我們比較上述兩種決定資產配置方法之差異。研究結果發現，若以期望值與標準差為判斷標準，兩種決定資產配置方法並沒有絕對的優劣關係。而若在每個決策執行的時間點重新使用預期模型來決定新的資產配置策略，則其所對應的投資策略以及投資績效會與適應模型下的策略與投資績效接近。因此，在無法獲得適應模型投資策略封閉解的情況下，預期模型投資策略可以有效的近似適應模型投資策略。 / The purpose of this thesis is to investigate the asset allocation issue of the long-term investors. Our approach is to calculate theoretical formulae of the first two moments of the accumulated fund; we then adopt optimization programming to find a asset allocation strategy that fits the fund management target. Two kinds of investors are explored. The first one is an investment manager who manages a general portfolio of life insurance policies, and the second one is an employee who starts his career life in a DC pension plan. We also survey the longevity risk issue in this thesis. In the study of “optimal asset allocation for a general portfolio of life insurance policies”, two kinds of rebalancing methodologies are examined. For constant rebalance rule, which is applicable to a continuing business line, we find an efficient frontier in the mean-standard deviation plot that occurs with arbitrary policy portfolios. Also, the insurance company should hold more cash to reduce its illiquidity risk for portfolios in which policies will mature at earlier dates. In the study of “optimal asset allocation incorporating longevity risk in defined contribution pension plans”, we confirm the suitability of the lifestyle investment strategy. Investors in a DC pension plan should be more aggressive when he considers the longevity risk. Furthermore, we proposed a time adjustment technique to capture mortality predictions more precisely in this study. The approach of decision making of this thesis is referred to anticipative model, which does not consider the possible feedback from the future information. On the other hand, the approach of decision making that consider the possible feedback from the future information is referred to adaptive model. We further compare the two approached in the study “Comparative efficiency- anticipative model versus adaptive model”. The numerical results show that investors would not prefer the adaptive approach to the anticipative approach in the mean-variance criterion. Moreover, the downside risk is larger when the strategy is decided by adaptive approach. We also find that the strategy and its numerical distribution of anticipative approach can approximate to that of adapted approach if one re-assesses it at every decision date. Thus, the anticipative approach provides a first approximation on looking for the optimal investment strategy of adaptive model.

[pt] Em apresentações hipermídia, umas das principais tarefas coordenadas pelo orquestrador da apresentação é a sincronização entre os diversos objetos componentes, que pode ser obtida através do ajuste elástico do tempo de exibição dos objetos. Esta técnica pode ser aplicada em tempo de compilação, de forma a manter os relacionamentos de sincronização especificados pelo autor, ou em tempo de apresentação, para prevenir qualquer descasamento temporal causado pelos ambientes de transmissão e de execução. Este trabalho descreve um conjunto de mecanismos para executar o ajuste elástico em fluxos MPEG-2 de Vídeo e de Sistemas, propondo algoritmos para a realização da compressão e expansão do tempo de exibição, do controle da ocupação do buffer do decodificador, da sincronização intermídia e da reconstrução do relógio de referência. Visando seu emprego em tempo de execução, todo o processo de ajuste é realizado diretamente no fluxo MPEG, sem qualquer transcodificação. / [en] In hypermedia presentations, one of the main tasks provided by the orchestrator is the synchronization of all presentation objects, which may be achieved by elastic time adjustment of period of exhibition of the objects, or simply timescale adaptation. This technique can be applied at compilation time, in order to keep track of synchronism relationships specified by authors, or at presentation time, to prevent any temporal mismatch caused by transmission or execution environments. This work presents a set of mechanisms to carry out timescale adaptation in MPEG-2 Systems and Video streams, proposing algorithms to perform compression and expansion of exhibition period, also called playback dilation, rate control, inter-media synchronization and clock reconstruction. In order to be performed at execution time, timescale operations are realized directly in compressed MPEG-2 streams, requiring no transcodification.

[pt] Ajuste elástico é a técnica de modificar a duração de exibição de um objeto de mídia. Este trabalho propõe algoritmos de ajuste elástico que funcionam em tempo de exibição para fluxos de áudio comprimidos, com aplicabilidade principal em cenários onde não existe interferência do usuário como, por exemplo, a manutenção da consistência temporal de um documento hipermídia. Os algoritmos de ajuste de áudio são propostos, desenvolvidos e integrados a algoritmos de ajuste de vídeo. Além disso, um algoritmo de resincronização é proposto, e implementado, para preservar o sincronismo intermídia durante a realização de ajuste em fluxos de sistemas MPEG-2. A união dos algoritmos implementados com o desenvolvimento da integração a exibidores de conteúdo deu origem à ferramenta de ajuste, capaz de ser facilmente utilizada por aplicações que precisam solicitar ajuste elástico em fluxos de mídia comprimidos. Como exemplo, a ferramenta de ajuste foi integrada a ferramentas de exibição de um formatador hipermídia. Os algoritmos propostos podem ajustar a duração de áudio em até 10% mantendo a qualidade da percepção do áudio dentro de limites aceitáveis, conforme demonstrado através de medidas de qualidade que também são apresentadas neste trabalho. / [en] Timescale is a technique used to modify media-object playing duration. This work proposes timescale algorithms, to be performed on-the- fly, for compressed audio streams. The focus is situations where there is no user interference as, for example, the temporal consistency maintenance of a hypermedia document. The algorithms are proposed, developed and integrated to video timescale algorithms. Furthermore, a resynchronization algorithm is also proposed, and implemented, in order to maintain inter-media synchronization in MPEG-2 system streams. The timescale tool is composed by the aforementioned algorithms and their integration to content rendering tools. The proposed solution can be easily used in applications that need timescale compressed media streams. As an example, the adjustment tool was integrated to a hypermedia formatter. The proposed algorithms can adjust audio durations up to 10%, maintaining the audio perceptual quality within acceptable limits, as observed through quality measurements also described in this work.