| 摘要(英) |
In today’s difficult economic environment and worsening international financial situation, life insurance companies face a major challenge: how to use different asset allocation strategies to increase investment returns and limit the adverse effects of narrowing interest rate spreads, all while accounting for risk. Based on the experience of “A Life Insurance”, this study uses historical simulation, taking into account legal limitations, to define the efficient frontier through the Mean-Variance and Mean-CVaR Portfolio Models and explores different asset allocations under different models.
. The study finds that optimal portfolio allocations are similar under the Mean-Variance and Mean-CVaR Portfolio Models if the insurance company’s assets are diversified and their correlation coefficient is not high, i.e. their investment portfolio has already diversified risk. Because a life insurer must take into account liabilities when it allocates assets, it cannot easily make major portfolio adjustments in response to market changes. This results in differences in asset allocations in its existing portfolio and the efficient frontier portfolio. Plotted on a graph, the life insurer’s portfolio allocation is to the lower right of the efficient frontiers generated by the two models, indicating that appropriate adjustments in the portfolio could have positive benefits. If the expected rate of return of the existing portfolio is kept the same, portfolio risk could be lowered, or, if the existing portfolio’s level of risk is maintained, the expected rate of return could be increased. |
| 參考文獻 |
一、中文部文
1、林紹杰（2003），「風險值（VaR）在金融風險管理的角色」，台灣金融財務季刊，第四輯，第一期，p.39-52。
2、張世傑、朱浩民、許素珠和黃雅文（2001），「資產配置之迷思或現實？台灣壽險業之實證研究」，風險管理學報，第十二卷，第一期，p.5-32。
3、敬永康和葉詩瑾（2001），「運用風險值模型（VaR）衡量保險業之風險基礎資本額（RBC）」，貨幣觀察與信用評等，第三十一期，p.90-99。
4、梁正德（2007），「保險業資金運用暨資產配置之研究」，行政院金融監督管理委員會九十五年度委託研究計劃。
一、 英文部分
1.Arzac E.R.,Bawa V.S.（1977）,”Portfolio choice and equilibrium in capital markets with safety-first investors”,Journal of Financial Economics 4,pp.277-288。
2.Brinsoon G.P.,Singer B.D.,Beebower G.L.（1991）,”Determinants of Portfolio Performance II：All Update”,Financial Analysts Journal 47,pp.40-48。
3.Campbell R.,Huisman R.,Koedijk K.（2001）,”Optional portfolio selection in a Value-at-Risk framework”,Journal of Banking & Finance 25,pp.1789-1804。
4.Gary P.Brinson,Randolph Hood,Gilbert L.Beebower（1986）,”Determinants of Portfolio Performance”, Financial Analysts Journal 42,pp.39-44。
5.Ibbotson,Roger G.,Paul D. Kaplan（2000）,”Does Asset Allocation Analysts Journal Explain 40,90,or 100 Percent of Performance?”,Financial Analysts Journal 56,pp.26-33。
6.Jorion P.（1996）,”Risk2,Measuring the risk in Value at Risk”,Financial Analysts Journal 52,pp.47-56。
7.Krokhmal P.,Palmquist J,Uryasev S.（2001）,”Portfolio optimization with conditional Value-at-Risk objective and constraints”,Journal of Risk 4,pp.43-68。
8.Leibowitz M.L.,Kogelman S.（1991）,”Asset allocation under shortfall constraints”,The journal of portfolio management 17,pp.18-23。
9.Markowitz H.（1952）,”Portfolio Selection”,The Journal of Financial 7,pp.71-91。
10.Rockafellar R.T.,Urysasev S.（2000）,”Optimization of Conditional Value-at-Risk”,Journal of risk 2,pp.21-42。
11.Roy, Andrew Donald（1952）,”Safety First and the Holding of Assets”,Econometrica 20,pp.431-449。
12.Sharpe W.F.（1992）,”Asset Allocation：Management Style and Performance Measurement”, The journal of portfolio management 18,pp.7-19。
13.Tesu Mourik（2003）,”Market risks of insurance companies”
14.Vardharaj R,Fabozzi F.J.（2007）,”Sector,Style,Region：Explaining stock allocation performance”, Financial Analysts Journal 63,pp.59-70。
15.Wang J.（2000）,”Mean-Variance-Var based portfolio optimization”,Working Paper Department of Mathematics and Computer Science ,Valdosta Stste University,G.A.。 |
[Endnote RIS 格式]
[相關文章]
[文章引用]
[完整記錄]
[館藏目錄]
[檢視]
plurk
funp
live
udn
HD
myshare
netvibes
friend
youpush
delicious
baidu
Google bookmarks
del.icio.us
hemidemi
facebook
twitter
google
reddit