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題 名 | Optimal Portfolio Decisions in Pension Fund Management=退休基金之最適投資決策 |
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作 者 | 張士傑; 李意豐; | 書刊名 | 管理學報 |
卷 期 | 21:2 2004.04[民93.04] |
頁 次 | 頁279-290 |
分類號 | 563.5 |
關鍵詞 | 短絀; 確定給付; 負債指標; 隨機控制; 動態規劃; Shortfall; Defined benefit; Liability benchmark; Stochastic control; Dynamic programming; |
語 文 | 英文(English) |
中文摘要 | 本文探討確定給付退休金計劃下,基金經理人於財務短絀情境發生前極大化管理目標之最適投資策略問題。定義基金比值過程為基金現值與負債指標之比例,基金經理人以最低基金比值發生前極大化既定經營目標之達成機率為準則。隨時間變化之基金投資集合包括現金、債券與股票。本研究建構隨機控制模型描述此最適化問題,並以動態規劃方法求解。經理人之最適策略必須考慮極小化基金比值變異、風險趨避程度、投資集合變化及模型狀態變數等因素。本研究發現,背景風險存在時需進一步考量相關係數結構修正與跨期投資集合相關之Sharpe比值。 |
英文摘要 | This paper analyzes the portfolio problem that the fund manager has to maximize the possibility of reaching his managerial goal before the worst scenario shortfall occurs in the defined benefit pension schemes. The fund ratio process defined as the ratio between the fund level and its liability benchmark is required to maximize the probability that the predetermined target is achieved before it falls below an unacceptable limit. The time-varying opportunity set in our study includes risk-free cash, bonds and stock index. The problems are formulated as a stochastic control framework and solved by dynamic programming techniques. The results show that the optimal portfolio contains the atemporal hedging component minimizing the variation in fund ratio growth, the intertemporal hedging component against changes in the opportunity set and the risk attitude of the fund manager and the state variables risk hedging component. In this study, the adjusted portfolio Sharpe ratio incorporating the correlation structure between risk factors is proposed when there are background risks. |
本系統中英文摘要資訊取自各篇刊載內容。