最適化資產配置： 投資型保險、無風險存款、風險性資產

Abstract

結構型商品自問世開始就備受投資者及專家學者討論。在台灣，投資型保險是熱門的結構型商品之一。但複雜度過高，使投資者無法準確評估合理價值，進而無法做出良好的資產配置決策。本研究參考Jessen與Jorgensen（2012），假設虛擬投資環境：一個無風險銀行存款、兩個市場指數（指數A、B）、一個投資標的為指數A、B的投資型保險，其中投資者無法直接投資指數B，只能透過投資型保險來投資。以此環境來分析最適投資型保險比例，以及最適資產配置策略。並且延伸分析各變數對各種資產最適投資比例之影響程度，深入了解投資者的投資行為、投資心理的變化過程。 本文使用期望效用最大化、常見的效用函數作為研究工具。研究結果顯示若投資者身處可直接投資指數B的環境中，投資型保險是不適合投資的金融商品。且投資環境、投資者的類型對於資產配置比例具有相當程度的影響。

Structured products have been discussed by investors, experts for decades. In Taiwan, the investment-linked insurance is one of the popular structured products. However, complexity is too high to price, so that investor can’t make a good decision about proportion of investment-linked insurance. An investment environment based on Jessen and Jorgensen (2012) assumes, a risk-free bank deposits, two market indexes (Index A, Index B), and an investment-linked insurance, linked with Index A and Index B. Investors only can invest Index B by investment-linked insurance. In this environment, we analyze the optimal proportion of the investment linked insurance, as well as the optimal asset allocation. In order to understand the investment behavior of investors and the process of psychological changing, we also explore sensitivity of optimal proportion of investment-linked insurance and asset allocation by risk aversion, insurance cost, correlation between Index A and Index B, and cumulative return. We apply four utility functions and the expected utility maximization to get optimal asset allocation. The result shows that investment-linked insurance would be excluded form portfolio if investors can invest Index B directly.