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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 邱顯比(Shean-Bii Chiu) | |
| dc.contributor.author | Fan Lu | en |
| dc.contributor.author | 呂凡 | zh_TW |
| dc.date.accessioned | 2021-06-16T13:32:33Z | - |
| dc.date.available | 2023-12-31 | |
| dc.date.copyright | 2013-07-26 | |
| dc.date.issued | 2013 | |
| dc.date.submitted | 2013-07-19 | |
| dc.identifier.citation | 參考文獻
Alain B., Praveen S., Roland K., Arthur V. , and Phillippe F., 2013, Risk Premium in Pictures, Societe Generale Andrew Ang and Geert Bekaert, 2002 , International Asset Allocation With Regime Shifts, The Review of Financial Studies, Volume 15, No.4 Black Fischer, 1990, Equilibrium Exchange Rate Hedging, Journal of Finance, Volume 45, No. 3, Pages 899-908. Bureau of Labor Insurance, 2013, http://www.bli.gov.tw/default.aspx Campbell John Y., Karine Serfaty-De Medeiros, Luis M. Viceira, 2010, Global Currency Hedging, The Journal of Finance, Volume 65, Issue 1, pages 87–121 Campbell, John Y., Luis M. Viceira, and Joshua S. White, 2003, Foreign Currency for Long-term Investors, Economic Journal, Volume 113(486,Mar), C1-C25. CalPERS 2012 annual report， http://www.calpers.ca.gov/ Cheols S. Eun and Bruce G. Resnick, 1988, Exchange Rate Uncertainty, Forward Contracts, and International Portfolio Selection, The Journal of Finance, Volume 43, Issue 1, Pages 197–215 De Roon, Frans A., Eiling, Esther, Gerard, Bruno and Hillion, Pierre, 2012, Currency Risk Hedging: No Free Lunch, INSEAD Working Papers Collection; Issue 87, Pages 1 Froot, Kenneth A., 1993, Currency Hedging Over Long Horizons, NBER Working Paper No. 4355. Glen, J., and Philippe Jorion, 1993, Currency Hedging for International Portfolios, Journal of Finance , Volume 48, 1865–1886. Jochen M. Schmittmann, 2010 , Currency Hedging for International Portfolios, Working paper, IMF Finance department John Y. Campbell, Karine Serfaty-De Medeiros, and Luis M. Viceira, 2010, Global Currency Hedging, The Journal of Finance, Volume Lxv, No. 1 Labor Pension Fund Supervisory Committee, 2013, Annual Report 2012, http://www.lpsc.gov.tw Li, Yi-Wen, 2006, Global Asset Allocation and Currency Hedging Strategies for Taiwan’s Pension Funds, Department of Finance, National Taiwan University, Master Thesis Lin, Yen-Chun, 2009, Can Currency- Trading Strategies Hedge Currency Risk? , Department of Finance, National Taiwan University, Master Thesis Markowitz, Harry M., 1952, Portfolio Selection, The Journal of Finance, Volume 7, No. 1, pp. 77-91 Lucas, D. and S. Zeldes, 2006, Valuing and Hedging Defined Benefit Pension Obligations – The Role of Stocks Revisited, working paper Northwestern and Columbia Universities MSCI Barra, 2009, MSCI Index Calculation Methodology, available at http://www.mscibarra.com Pennacchi, George, Rastad, Mahdi, 2011, Portfolio allocation for public pension funds, Journal of Pension Economics and Finance, vol. 10(02), pages 221-245 Pavlova, Anna, and Roberto Rigobon, 2007, Asset prices and exchange rates, Review of Financial Studies, Volume 20, 1139–1181 Solnik, Bruno H., 1974, An equilibrium model of the international capital market, Journal of Economic Theory, Volume 8, 500–524. Towers Watson, 2012, http:// towerswatson.com Walker, Eduardo, 2008, Strategic currency hedging and global portfolio investments upside down, Journal of Business Research 61, 657–668. Wang, Shaio-Tien, 2007, Optimal currency hedging overlay strategies for Taiwan’s Pension Fund, Department of Finance, National Taiwan University, Master Thesis Wenling Lin, Lisa Kopp, Phillip Hoffman and Mark Thurston, 2004, Changing risks in global equity portfolios, Financial Analysts Journal, Volume 60, No. 1, pp. 87-99 日本年金積立金管理運用獨立行政法人，2012年第三季投資報告，網站 http://www.gpif.go.jp 王儷玲 (2011)，我國退休基金管理制度之研究，行政院研究發展考核委員會委託研究報告 邱顯比 (1998)，台灣退休基金資產分配之試評，證券市場發展季刊，9(2)，29-57 繆震宇 (2007)，勞退新制的最適資產配置、所得替代率與保證成本，台大管理論叢， 第17卷第2期 蘇嘉華、林亞倩、邱南源 (2012)，全球退休基金資產配置趨勢與運用情形，台灣勞工季刊，32期，92-103頁 | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/62185 | - |
| dc.description.abstract | 投資國際資產時會有匯率風險，本文使用不同的匯率避險策略，同時考量避險成本，研究最佳避險方式。本研究以台灣勞退新制退休基金的資產配置為參考，代入2007至2013年的數據。本研究結果，將勞退新制歷年資產配置比例代入五種避險策略的結果顯示，25% Hedge為優勢策略。以10 年未來預期報酬代入五種避險策略結果顯示，No Hedge也為優勢策略。希望此研究可以做為本國人投資外幣資產時需不需要避險之參考。 | zh_TW |
| dc.description.abstract | International investments involve currency exchange. Exchange rate uncertainty is a risk which affecting performance of international portfolios. In order to reduce this risk, we introduce five different currency hedge strategies (100%, 75%, 50%, 25% and 0% hedge) and consider hedge cost in our study. We try to find the most efficient currency hedge strategy for international portfolios and to give suggestions for Taiwan investors. In our study, we simplify the Taiwan Labor Pension Fund (DC Plan) asset allocation as our international portfolio. Select the time period from 2007 to 2013. We find that 25% hedge is the dominate strategy for existing asset allocations weight in the Taiwan Labor Pension Fund (DC Plan). By using 10 years forward looking return, we find that no hedge is the dominate strategy. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-16T13:32:33Z (GMT). No. of bitstreams: 1 ntu-102-R99723071-1.pdf: 1336954 bytes, checksum: a9cca42934e216bc8af573066b198ee7 (MD5) Previous issue date: 2013 | en |
| dc.description.tableofcontents | 目錄
口試委員會審定書 # 誌謝 i 中文摘要 ii ABSTRACT iii 目錄 iv 圖次 vi 表次 vii 第一節 緒論及文獻回顧 1 1.1 研究目的 1 1.2 國際資產配置及匯率避險策略文獻探討 1 1.3 台灣勞退新制基金現況介紹 7 1.4 美國與日本退休基金之資產分配 9 第二節 研究方法 12 2.1 研究架構 12 2.2 數據資料 13 2.3 研究方法 15 2.3.1 報酬率的計算 15 2.3.2 建置效率前緣 16 2.3.3 五種避險策略 18 2.3.4 十年未來預期報酬 19 第三節 實證結果 21 3.1 描述統計 21 3.2 歷年勞退新制投資組合資產分配比例與五種避險策略結果 26 3.3 十年未來預期報酬率及五種避險策略結果 33 第四節 結論 47 參考文獻 50 | |
| dc.language.iso | zh-TW | |
| dc.title | 台灣退休基金國際資產配置與匯率避險效果–以台灣勞退新制為例 | zh_TW |
| dc.title | Taiwan Pension Global Asset Allocation and Exchange Rate Hedge Effect – Example of the Taiwan Labor Pension Fund (Defined Contribution Plan) | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 101-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 胡星陽(Shing-yang Hu),陳聖賢(Sheng-Syan Chen) | |
| dc.subject.keyword | 退休金,避險,資產配置,匯率風險, | zh_TW |
| dc.subject.keyword | Pension fund,Hedging,Asset allocation,Currency risk, | en |
| dc.relation.page | 52 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2013-07-19 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
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