證券市場發展季刊 Review of Securities and Futures Markets

20(2) 2008


語  文: 英文 English
論文標題: The Maturity Matching of Assets to Liabilities: A Generalized Least Square Formulation 到期日之資產負債適配:以一般化最小平方問題來規劃
論文作者: 黃泓智 Huang, Hong-Chih、謝明華 Hsieh, Ming-Hua、劉家銓 Liu, Chia-Chuan
期刊名稱: 證券市場發展季刊 Review of Securities and Futures Markets
卷  期: 20(2) 出版年月: 2008.07
本期期刊附註:
總號第78期;本刊由行政院國家科學委員會社會科學研究中心補助編輯費用 
起迄頁: 75∼108 引用型式: 參考文獻
補助經費來源:  
關鍵詞: asset liability matching;generalized least square problem;optimal investment strategy;資產負債管理;一般化最小平方問題;最適投資策略  
摘要:   資產負債適配(asset liability matching)是退休與保險基金管理中的一個重要議題。在本文中,我們考慮單期與多期模型中的資產負債適配問題。退休與保險基金中常見的資產類別,皆列入我們的考慮範圍。這些資產類別包括短債(short-term bonds)、永續債券(consols)、指數連結型債券(index-linked gilts)、與股票(equity)。我們利用隨機模擬產生一組具代表性的情境。而每一個情境在負債配適的分析中皆納入考慮。我們所考慮的問題,在於決定每期的最適投資策略,以適配長期的負債。對這些問題,我們皆能將其轉化成具有凸性合理區(convex feasible region)的一般化最小平方問題。具有凸性合理區的一般化最小平方問題擁有唯一解的好處。並且這類問題已有多種有效率的演算法可供求解。本文的數值實證結果顯示我們的方法對資產負債適配而言是一個實用的方法。因為我們可快速求得投資策略,並且所選出的投資策略有很小的追蹤誤差(tracking error)。 
論文附註:



序號
標題
期刊、書刊名稱
作者 / 編者
出版年
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共計:24 筆