:::

詳目顯示

回上一頁
題名:Optimal Portfolio Decisions in Pension Fund Management
書刊名:管理學報
作者:張士傑 引用關係李意豐
作者(外文):Chang, Shih-chiehLi, Yi-feng
出版日期:2004
卷期:21:2
頁次:頁279-290
主題關鍵詞:短絀確定給付負債指標隨機控制動態規劃ShortfallDefined benefitLiability benchmarkStochastic controlDynamic programming
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:0
  • 點閱點閱:23
期刊論文
1.Viceira, L. M.、Campbell, J. Y.(2001)。Who Should Buy Long-term Bonds?。The American Economic Review,91(1),99-127。  new window
2.Kim, Tong S.、Omberg, Edward(1996)。Dynamic nonmyopic portfolio behavior。Review of Financial Studies,9(1),141-161。  new window
3.Campbell, John Y.、Viceira, Luis M.(1999)。Consumption and Portfolio Decisions when Expected Returns Are Time Varying。The Quarterly Journal of Economics,114(2),433-495。  new window
4.Sørensen, C.(1999)。Dynamic Asset Allocation and Fixed Income Management。Journal of Financial and Quantitative Analysis,34,513-531。  new window
5.O'Brian, T.(1987)。A Two-Parameter Family of Pension Contribution Functions and Stochastic Optimization。Insurance, Mathematics and Economics,6,129-134。  new window
6.Merton, Robert C.(1971)。Optimum Consumption and Portfolio Rules in a Continuous-time Model。Journal of Economic Theory,3(4),373-413。  new window
7.Merton, Robert C.(1969)。Lifetime Portfolio Selection under Uncertainty: The Continuous-time Case。The Review of Economics and Statistics,51(3),247-257。  new window
8.Chang, S. C.(2000)。Realistic pension funding: A stochastic approach。Journal of Actuarial Practice,8,5-42。  new window
9.Chang, S. C.、Tzeng, L. Y.、Miao, J. C. Y.(2003)。Optimal Pension Funding Incorporating Downside Risks。Insurance: Mathematics and Economics,32(2),217-228。  new window
10.Josa-Fombellida, R.、Rincon-Zapatero, J. P.(2001)。Minimization of Risks in Pension Funding by Means of Contributions and Portfolio Selection。Insurance: Mathematics and Economics,29,35-45。  new window
11.Cox, J. C.、Ingersoll, J. E.、Ross, S. A.(1985)。A Theory of the Term Structure of Interest Rate。Econometrica,53(2),385-408。  new window
12.Samuelson, P. A.(1969)。Lifetime Portfolio Selection by Dynamic Stochastic Programming。Review of Economics and Statistics,51(3),239-246。  new window
13.Chang, S. C.(1999)。Optimal Pension Funding Through Dynamic Simulations: The Case of Taiwan Public Employees Retirement System。Insurance: Mathematics and Economics,24(3),187-199。  new window
14.Haberman, Steven、Sung, Joo-Ho(1994)。Dynamic Approaches to Pension Funding。Insurance: Mathematics and Economics,15(2/3),151-162。  new window
15.Brennan, M. J.、Schwartz, E. S.(1982)。An equilibrium model of bond pricing and a test of market efficiency。Journal of Financial and Quantitative Analysis,17(3),301-329。  new window
16.Heath, David C.、Jarrow, Robert A.、Morton, Andrew J.(1992)。Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation。Econometrica,60(1),77-105。  new window
17.Merton, Robert C.(1973)。An Intertemporal Capital Asset Pricing Model。Econometrica,41(5),867-887。  new window
18.Schwartz, E. S.、Brennan, M. J.、Lagnado, R.(1997)。Strategic Asset Allocation。Journal of Economics, Dynamics and Control,21(8/ 9),1377-1403。  new window
19.Boyle, P.、Yang, H.(1997)。Asset allocation with time variation in expected returns。Insurance: Mathematics and Economics,21,201-218。  new window
20.Browne, S.(1999)。Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark。Finance and Stochastics,3,275-294。  new window
21.Cairms, A. J. G.(2000)。Some notes on the dynamics and optimal control of stochastic pension fund models in continuous time。ASTIN Bulletin,30,19-55。  new window
22.張士傑、Cheng, Hsin-Yi(2002)。Pension Valuation Under Uncertainties: Implementation of a Stochastic and Dynamic Monitoring System。The Journal of Risk and Insurance,69(2),171-192。  new window
23.張士傑、蔡政憲、田嘉蓉、杜昌燁(2002)。Dynamic Funding and Investment Strategy for Defined Benefit Pension Schemes: Model Incorporating Asset-liability Matching Criterions。Journal of Actuarial Practice,10,131-155。  new window
24.Karatzas,Ioannis、Lehoczky, John P.、Sethi, Suresh P.、Shreve, Steven E.(1986)。Explicit Solution of a General Consumption/ Investment Problem。Mathematics of Operations Research,11(2),261-294。  new window
25.Menoncin, Francesco(2002)。Optimal Portfolio and Background Risk: An Exact and an Approximated Solution。Insurance: Mathematics and Economics,31,249-265。  new window
26.O'Brien, T.(1986)。A stochastic-dynamic approach to pension funding。Insurance: Mathematics and Economics,5,141-146。  new window
27.Runggaldier, Wolfgang J.(1998)。Concept and methods for discrete and continuous time control under uncertainty。Insurance: Mathematics and Economics,22,25-39。  new window
28.Schal, M.(1998)。On piecewise deterministic Markov control processes: control of jumps and of risk processes in insurance。Mathematics and Economics,22,75-91。  new window
29.Sharpe, William F.(1991)。Capital Asset Prices with and without Negative Holdings。The Journal of Finance,46(2),489-509。  new window
30.Sharpe, W. F.、Tint, L. G.(1990)。Liabilities - A new approach。The Journal of Portfolio Management,17,5-10。  new window
31.Wachter, J. A.(2002)。Portfolio and consumption decisions under mean-reverting returns: An exact solution for complete markets。Journal of Financial and Quantitative Analysis,37,63-91。  new window
圖書
1.Merton, R. C.(1990)。Continuous Time Finance, Basil Blackwell。Continuous Time Finance, Basil Blackwell。Cambridge, MA。  new window
2.Felming, Wendell H.、Rishel, Raymond W.(1975)。Deterministic and Stochastic Optimal Control。New York, NY:Springer-Verlag。  new window
3.Petit, Maria Luisa(1990)。Control Theory and Dynamic Games in Economic Policy Analysis。Cambridge:Cambridge University Press。  new window
4.Schwartz, E. S.、Brennan, M. J.(1998)。The Use of Treasury Bill Futures in Strategic Asset Allocation Programs。Worldwide Asset and Liability Modeling。Cambridge, UK。  new window
5.Krylov, N. V.(1980)。Controlled diffusion process。Controlled diffusion process。New York, NY。  new window
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
QR Code
QRCODE