邱顯比臺灣大學：財務金融學研究所李宜雯Yi-Wen, LiLiYi-Wen2007-11-282018-07-092007-11-282018-07-092006http://ntur.lib.ntu.edu.tw//handle/246246/60900本篇論文主要在研究台灣退休基金的資產配置與外匯避險策略。我們使用馬可維茲的平均數—變異數模型，在deterministic lifestyle退休計劃下產生策略性的資產配置。並在currency overlay及投資組合避險政策之下，運用完全避險、選擇性避險及最適避險策略來避掉外匯風險。本篇論文研究發現，在currency overlay政策之下，在全期間或台幣貶值期間，不避險會是最佳策略，而當台幣升值，完全避險將會是最佳策略。而在投資組合避險策略之下，最佳的避險策略將會依風險承受度的大小而不同，唯在台幣升值時最適避險會是最佳策略。In this paper, we examine asset allocation strategies and currency hedging strategies for Taiwanese pension funds. We use Markowitz Mean-Variance model to derive strategic asset allocation of deterministic lifestyle pension plan. Then, we hedge currency risks by using full hedge strategy, selective hedge strategy, and optimal hedge strategy under currency overlay policy and portfolio hedging policy. We find that under currency overlay policy, un-hedge strategy is the best strategy for the entire period or when NTD depreciates, and full hedge strategy is the best strategy when NTD appreciates. Under portfolio hedging policy, different hedging policies can be implemented according to how much risk fund managers are willing to bear, but optimal hedge strategy is always the most suitable strategy when NTD appreciates.1. INTRODUCTION 1 2. DATA AND METHODOLOGY 5 2.1 DATA 5 2.1.1 Asset Allocation 5 2.1.2 Currency Hedging 5 2.2 METHODOLOGY 6 2.2.1 Asset Allocation 6 2.2.2 Currency Hedging 12 3. EMPIRICAL RESULT 24 3.1 ASSET ALLOCATION 24 3.1.1 Efficient Frontier 24 3.1.2 Asset Allocation Strategy 25 3.1.3 Monte Carlo Simulation 28 3.2 CURRENCY HEDGING 31 3.2.1 Currency Overlay Policy 31 3.2.2 Portfolio Hedging Policy 34 3.2.3 Currency Hedging when NTD Depreciates 43 3.2.4 Currency Hedging when NTD Appreciates 47 3.2.5 Compare the Currency Hedging Results 51 3.2.6 Investment Suggestions 54 4. CONCLUSION 56 REFERENCES 57747470 bytesapplication/pdfen-US資產配置外匯避險asset allocationcurrency hedgingthesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/60900/1/ntu-95-R93723038-1.pdf