請用此 Handle URI 來引用此文件: http://hdl.handle.net/11455/24522
標題: 在不同年齡下之最適投資組合-以Country Index ETF為例
The Optimal Portfolios Under Different Ages-Portfolios Constructed By Country ETFS
作者: 熊亞萍
Hsiung, Jennifer
關鍵字: http://etds.lib.nchu.edu.tw/etdservice/view_metadata?etdun=U0005-1007200810571200
指數型基金
生命週期投資
資產配置
風險趨避
投資人效用函數
出版社: 高階經理人碩士在職專班
引用: 參考文獻 1. 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。 2. 台灣証券交易所 TSEC- 指數型基金簡介。 3. 邱顯比,2005,「退休理財的六堂課」,天下遠見出版股份有限公司。 4. 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。 5. 謝偉國 2007,「消費哲在投資行商品投資標的選擇之研究-以指數股票型基金為例」,逢甲大學保險學研究所碩士論文。 6. Ambachtsheer, Keith P., 1994, “The Economics of Pension Fund Management.” Financial Analysts Journals, Vol. 50, Iss. 6, p21-p31. 7. 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. 8. Arnott, Robert D. , 1985. “The Pension Sponsor’s View of Asset Allocation.” Financial Analysts Journal, Vol. 41, Iss. 5, p17-p23. 9. 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. 10. 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. 11. Gary, Brinson. 1991 “ Financial Analyst Journal “ Dec., p129-132 12. Griffin, Mark., 1998. “A Global Perspective on Pension Fund Asset Allocation.” Financial Analysis Journal, March/April, p60-p68. 13. Grubel, Herbert G., 1968, “International Diversified Portfolio: Welfare Gains and Capital Flows.” The American Economic Review, Dec., p1299-p1314. 14. Bogle, John C. 1999. ”Common Sense on Mutual Funds: New Imperatives for the Intelligent Investor.” p57-p65. 15. 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. 16. Levy, H. and Sarnat, M. 1970. “International Diversification of Investment Portfolios.” The American Economic Review, Vol. 60, Iss. 4, p668-p675. 17. Markowitz, Harry M., 1952. “Portfolio Selection.” The Journal of Finance, Vol. 7, Iss.1. 18. Markowitz, Harry M., 1959. “Portfolio Selection: Efficient Diversification of Investment.” John Wiley & Sons, Inc., New York, NY. 19. Malkiel Burton,1996. “A Random Walk Down Wall Street.” New York: W.W. Norton & Co. 20. Morgan Stanley, May 2,2008 “ Exchang Traded Funds – Short Invest/Q1,2008, Investment Strategy 21. Sharpe, W.F., 1994. “The Sharpe Ratio.” Journal of Portfolio Management, 20, Fall, p49-p58 22. Zvi ,Bodie, Alex, Kane, and Alan, J. Marcus, 2002. “Investments.” p155-p199.
摘要: 摘要 據Bloomberg資料庫最新統計,至2007/12/31為止,全世界ETF高達1,171支,總資產規模高達7,961億美元。全球各類的指數型基金( ETF ) 商品正如火如荼的發行當中,相信投資人以ETF作為主要資產配置將會是未來的趨勢。 本文研究之主要目的,在探討不同年齡下的最適資產配置,因為每個人隨著年齡的增長與老去,面對相同的報酬所願意承擔的風險也不盡相同,在各個年齡層的投資人身上可以明顯發現,投資人依年齡的不同有著不同的風險偏好,學生希望可以建構出一套完善的模型,提供各個年齡層的投資人做投資時的參考,這樣有助於各個年齡層的投資人依照他們自己的風險偏好去做資產配置。 本研究將年齡變數放入風險趨避者的投資效用函數中,模擬檢視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。首先,我們以三年為計算基期,去計算二十三個ETF之變異數,藉由三年內各ETF之波動性,將二十三個ETF區分為三組波動性組合,其中我們取波動最高之波動性組合視為高風險性資產,波動最低之風險性組合視為低風險性資產,再經由特定的比例配置,檢視以全球ETF為資產配置之投資組合,其各年齡下投資人之最適資產配置為何。 其次,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。最後,依照不同的年齡、不同的風險趨避程度與效用函數,模擬0~100歲最適合的投資組合,並有效的降低投資人的投資風險。最後,作出結論。
Abstract According to the latest ETF statistics by Bloomberg, till the end of 2007, 1,171 ETFs are listed in the world market, and the asset totaling US$796.1 billion. All types of ETF are developed prosperously. We believe that it will be a big trend for investors using ETF as one of their asset allocation tools. The study aims to explore the best asset allocation of age-based methods. Investors' risk comfort level may change as they are getting older. In practice, investors at different age have different risk preference. We hereby establish a comprehensive model, which can provide investors with asset allocation advices according to their ages and risk tolerance. The study adopts age into the “Utility Function of Risk Aversive Investors” to find out whether the investment weight of risky asset will change accordingly when people are getting older. First of all, we calculate the variances of the selected 23 ETFs on the basis of 3 years and then divide the 23 ETFs into 3 groups based on their volatized levels. Among the 3 groups, the most volatized portfolio is considered as the high-risk asset, By contrast, the lowest volatized is considered as the low-risk asset. By allocating proper percentage of the portfolio, we can achieve the objective of diversity, to reduce risk and to enhance return. Moreover, the report also indicates the source and assumptions of the simulation model, “Coefficient of Risk Aversion” and “Utility Function of Risk Aversive Investors” used in the study. Finally, by different age, by different level of risk-averse and utility function, we find out the best asset allocation suitable for age from 20 to 80 years old. These findings can also reduce investing risk effectively.
URI: http://hdl.handle.net/11455/24522
其他識別: U0005-1007200810571200
顯示於類別:高階經理人碩士在職專班

文件中的檔案:
沒有與此文件相關的檔案。


在 DSpace 系統中的文件,除了特別指名其著作權條款之外,均受到著作權保護,並且保留所有的權利。