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題 名 | Risk Stochastic Control in Pension Valuation=應用隨機風險控制於退休基金評價 |
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作 者 | 張士傑; | 書刊名 | 管理學報 |
卷 期 | 17:3 2000.09[民89.09] |
頁 次 | 頁547-561 |
分類號 | 556.82 |
關鍵詞 | 提撥原則; 資產配置; 風險度量; 動態規劃; 最適策略; Funding policy; Asset allocation; Risk measurement; Dynamic programming; Optimal strategy; |
語 文 | 英文(English) |
中文摘要 | 提撥原則及資產配置且退休基金評價及管理的重要議題,本主將嘗試考量於連續投資時間軸下,應用隨機控制模型和邊界值的給定,評估確定給付退休基金的最適管理策略,考量於可能的情境及利用最小化管理風險檢視退休基金的提撥及資產配置。於本研究中,將定義退休基金的管理風險度量,並於兩種投資選擇的假設下,利用動態規劃方法求得最適策略的公式解。 |
英文摘要 | Funding policy and asset allocation are two important issues in pension valuation and fund management. In this article, a stochastic control and its boundary conditions are formulated in continuous-time framework to investigate the optimal strategies. Monitoring mechanism linking plausible scenarios and the closed-form solutions are employed to scrutinize the contributions and asset allocation for the defined benefit pension scheme. In this study, the optimal strategies are estimated through dynamic programming under a two-asset investment scenario. Risk measurement in evaluating the pension fund management is discussed and the process of obtaining the closed-form solutions is also outlined. |
本系統中英文摘要資訊取自各篇刊載內容。