The research investigates the application of asset allocation model to pension structure and mortgage payment. The defined contribution pension plan has become the main pension plan in Taiwan. In this pension plan, labors could adjust the contribution rate to maximize their utility function even if they change jobs. Thus, the pension plan may cause changes in their optimal asset allocation. In addition, due to the financial innovations of personalized debt instruments, lenders are allowed to adjust the mortgage payment to maximize personal utility function and hence the adjustable payment ratio could also change the lenders¡¦ optimal asset allocation. This study presents an extended intertemporal asset allocation model of Campbell(1993) and Viceira(2001) to investigate the effects of defined contribution pension and mortgage payment. The numeric simulation is also present to demonstrate the effects on labors¡¦ optimal asset allocation.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0715108-103006 |
| Date | 15 July 2008 |
| Creators | Hsieh, Chi-jung |
| Contributors | Hsiou-jen Kuo, Yu-chuan Huang, Szu-lang Liao, David Shyu, Ming-chi Chen, Chu-hsiung Lin |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | Cholon |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0715108-103006 |
| Rights | not_available, Copyright information available at source archive |
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