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題名 | 郵政儲金最佳資產配置之研究=A Study of Optimal Asset Allocation for Postal Saving Fund |
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作者 | 韋端; 蔡憲唐; 陳信宏; | 書刊名 | 中國統計學報 |
卷期 | 40:1 2002.03[民91.03] |
頁次 | 頁1-16 |
分類號 | 557.661 |
關鍵詞 | 馬可維茲模型; 效用函數; 資產配置; Asset allocation; Markovwitz MV model; Utility function; |
語文 | 中文(Chinese) |
中文摘要 | 本研究主要探討馬可維茲MV模型應用於我國郵政儲金之資產配置,並利用廣義效用函數求解最佳資產配置之模式。首先,我們建立限制不得投資海外市場與開放投資海外市場之郵政儲金資產配置模型,分別求解其效率前緣並加以比較分析,以暸解開放投資海外市場是否可有效提升其資金營運績效;進而利用廣義之效用函數解決期望報酬與風險間之兩難問題,並求得最佳資產配置權重。本研究主要發現:開放投資海外市場後,若能選擇投資績效穩定之投資工具,確實可分散投資風險並提升基金期望報酬。廣義之效用函數確實可建立評估最佳資產配置之決策模式並求出各投資工具之最佳資產配置權重。 |
英文摘要 | We primarily discussed the application of Markowitz mean-variance (MV) model on asset allocation of postal saving fund in Taiwan, and applied the utility function to find the optimal asset allocation. First, two MV models were proposed: one with domestic markets only, and the other including international markets, and their efficient frontiers were obtained and compared. The results show that the postal saving fund is encouraged to invest on international markets. Moreover, the specific utility function was applied to tradeoff the expected return rate (mean) with risk (variance) so that an optimal asset allocation can be obtained easily. |
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