Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/23489
標題: Life- Cycle Investment: A Cross-Country Analysis
以生命循環週期為基礎之跨國資產配置比較
作者: 王思妍
Wang, Sz-yen
關鍵字: Life Cycle Investment
生命週期投資
Asset Allocation
Risk Aversion,
Utility Function
資產配置
多國投資比較
風險趨避
投資人效用函數
出版社: 財務金融系所
引用: 參考文獻 1. 邱顯比,1997,「台灣退休基金資產分配之試評」,證券市場發展季刊第九卷第二期。 2. 朱延明,2001年,「台灣退休基金國際資產配置程序之研究」,臺灣大學財務金融研究所碩士論文。 3. 許和鈞,盧陽正,2003,利用風險值(VaR)內部模型法提升證劵商衍生商品業務之風險控管效能,台灣證劵交易所委託之研究計畫。 4. 邱顯比,2005,「退休理財的六堂課」,天下遠見出版股份有限公司。 5. 林詩茵,2006,「退休給付:運用年齡為基礎之資產配置法」,中興大學財務金融學系碩士論文。 6. 蔡尚儒,2007,「退休規劃:以生命循環週期為基礎之資產配置法」,中興大學財務金融學系碩士論文。 7. Ambachtsheer, Keith P., 1994, “The Economics of Pension Fund Management.” Financial Analysts Journals, Vol. 50, Iss. 6, p21-p31 8. Ambachtsheer, K.P., KPA Advisory Services Ltd., 1998. “How Should Pension Funds Manage Risk.” Journal of Applied Corporate Finance, vol.11, no.2, September, p122-p127 9. Ambachtsheer, K., R. Capelle, and T. Scheibelhut, 1998. “Improving Pension Fund Performance.” Association for Investment Management and Research, Nov/Dec 1998, p15-p21 10. Arnott, Robert D. , 1985. “The Pension Sponsor’s View of Asset Allocation.” Financial Analysts Journal, Vol. 41, Iss. 5, p17-p23 11.Booth, Philip and Yakoub Yakoubov, 2000. “Investment Policy for Defined-Contribution Pension Scheme Members Close to Retirement: An Analysis of the ‘Lifestyle’ Concept.” North American Actuarial Journal, Vol. 4, Iss. 2, p1-p19 12.Brinson, Gary P., Brian D. Singer and Gilbert L. Beebower, 1991. “Determinants of Portfolio Performance II: An Update.” Financial Analysts Journal, Vol. 47, Iss. 3, p40-p48 13.Griffin, Mark., 1997. “Why do Pension and Insurance Portfolios Hold So few International Assets” The Journal of Portfolio Management, summer 1997, p45-p50 14.Griffin, Mark., 1998. “A Global Perspective on Pension Fund Asset Allocation.” Financial Analysis Journal, March/April, p60-p68 15.Grubel, Herbert G., 1968, “International Diversified Portfolio: Welfare Gains and Capital Flows.” The American Economic Review, Dec., p1299-p1314 16.Bogle, John C. 1999. ”Common Sense on Mutual Funds: New Imperatives for the Intelligent Investor.” p57-p65 17.Hichman, Kent; Hugh, Hunter; Byrd, John; Beck, John; Terpening, Will,2001. “Life Cycle Investing, Holding Periods, and Risk.” Journal of Portfolio Management, Winter 2001; 27, 2; p101 18.Levy, H. and Sarnat, M. 1970. “International Diversification of Investment Portfolios.” The American Economic Review, Vol. 60, Iss. 4, p668-p675 19.Markowitz, Harry M., 1952. “Portfolio Selection.” The Journal of Finance, Vol. 7, Iss.1. 20.Markowitz, Harry M., 1959. “Portfolio Selection: Efficient Diversification of Investment.” John Wiley & Sons, Inc., New York, NY. 21.Malkiel Burton,1996. “A Random Walk Down Wall Street.” New York: W.W. Norton & Co. 22.Sharpe, W.F., 1994. “The Sharpe Ratio.” Journal of Portfolio Management, 20, Fall, p49-p58 23.Sharpe, W.F., 1966. “Mutual Fund Performance.” Journal of Business,39, p119-p138 24. Yoonkyung Yuh, Sherman Hanna, Catherine Phillips Montalto, 1998. ”Mean and pessimistic projections of retirement adequacy.” Financial Services Review 7, p175-p193 25.Zvi ,Bodie, Alex, Kane, and Alan, J. Marcus, 2002. “Investments.” p155-p199 26.Zvi, Bodie, 2003. “Thoughts on the Future: Life Cycle Investing in Theory and Practice.” Financial Analysts Journal, Volume 59 Issue1, Jan/Feb
摘要: This study explores that how investors of different countries (including developed and emerging market countries) take their age into consideration when they have to allocate their wealth. We also hope to provide government, pension funds, or individual investors a different idea of asset allocation methods which based on life-cycle hypothesis. Here we introduced “Coefficient of Risk Aversion” and “Utility Function of Risk Aversive Investors” to allocate risky asset and risk-free asset. We tried to find out the investment weight of risky asset that will maximize investors' utility. Subsequently, we can make a comparison between the forty different countries. See if there is any difference that we could explain. The main discovery of this study includes: (1)Under the assumption of the future return of all asset classes are stable, we could see that the return and risk (fluctuation) of age-based methods will decrease as long as the investors' age increase. (2) Under the assumption of the investors are all risk aversive, we could see that the investment weight of risky asset will decrease as long as the investors' age increases. (3) When we compared emerging market countries to developed countries, we found that emerging market investors can take higher risk than developed countries.
有鑑於台灣歷年出生率的降低與老年人口的增加,並且日漸嚴重的通貨膨脹可能導致工作族群的實質薪資縮水等問題,然而,跳脫出台灣,本研究藉由其它39個國家去探討生命週期投資與有效資產配置對不同年齡投資人的重要性。 我們發現,從世界主要的股票市場與固定收益市場,長期而言,股票市場報酬率比固定收益市場報酬率高。但是,股票市場的風險也比固定收益市場的風險要高。報酬與風險的關係是正相關,預期報酬越高,預期風險越高。所以本研究將年齡變數放入風險趨避者的投資效用函數中的風險項,以檢視四十個國家投資人在年齡增加的同時,其投資風險性資產的比重是否有顯著差異,並解釋之。 本研究寫作重點簡述如下: 首先,舉美國三種不同型態的投資組合為例,證實資產配置的重要性,並解釋耶魯大學校務基金與CalPERS表現出色的原因。第二,引用世界主要40個國家的股票大盤指數過去十年以上的年平均自然對數報酬率,與近至少七年平均一年期定存利率,一窺風險性資產和低風險資產的長期表現。第三,介紹論文的模擬模型,風險趨避係數模型與投資人效用函數的出處和假設情況。第四,依照不同的年齡、不同的風險趨避程度與效用函數(幸福滿足的程度),試算40國的投資人最適合的投資組合。最後,總結本文與提出建議。
URI: http://hdl.handle.net/11455/23489
其他識別: U0005-1906200815354400
文章連結: http://www.airitilibrary.com/Publication/alDetailedMesh1?DocID=U0005-1906200815354400
Appears in Collections:財務金融學系所

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