退休基金資產配置策略之研究-以VaR資訊為基礎之模型
碩士 === 銘傳大學 === 金融研究所 === 89 === In this thesis, an optimal asset allocation model with the restriction of component VaR is proposed for pension fund asset management. In comparison to Husiman, Koedijk and Pownall (1999) approach, the proposed model further takes into account the marginal...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2001
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| Online Access: | http://ndltd.ncl.edu.tw/handle/97537839179401090277 |
| Summary: | 碩士 === 銘傳大學 === 金融研究所 === 89 === In this thesis, an optimal asset allocation model with the restriction of component VaR is proposed for pension fund asset management. In comparison to Husiman, Koedijk and Pownall
(1999) approach, the proposed model further takes into account the marginal VaR contribution of each asset. A marginal VaR or component VaR based asset allocation model would model the correlation structure of assets well and explore further useful information for asset allocation decision. Such a model would be more applicable for pension fund asset management and could be extended to other fund asset allocation problems.
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