臺灣人文及社會科學引文索引資料庫系統

:::

詳目顯示

回上一頁
第 1 筆 / 總合 1 筆   第一頁 上一頁 下一頁 最後一頁
/1頁
題名：投資型保險商品效率投資組合之研究
書刊名：風險管理學報
作者：周百隆 引用關係／林佳君
作者(外文)：Chou, Pai-lung／Lin, Jia-jun
出版日期：2010
卷期：12:1
頁次：頁69-89
主題關鍵詞：投資型保險商品；共同基金；隨機優勢法則；規模效果；定期定額；Investment-oriented insurance policy；Mutual fund；Stochastic dominance rule；Size effect；Dollar-cost averaging
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(2) 博士論文(1) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:2
  • 共同引用共同引用:22
  • 點閱點閱:44
投資型保險兼具保險保障與投資理財兩大功能，保戶可彈性決定投資標的與投資比例，然近期全球金融市場波動劇烈，造成多數投資型商品的市值大幅度萎縮，因此針對不同投資形態與需求尋求效率之資產配置益發顯得重要。故本文以2003-2007年間，M壽險公司銷售之投資型保險商品所連結之共同基金為研究對象，運用帶有無風險性資產隨機優勢法則，檢驗基金淨值報酬與規模基金組合的報酬績效，以期確實擇選出報酬分配較具優勢之基金組合。實證結果顯示一維基金組合的建構下，最高平均報酬與大規模基金組合須與無風險利率進行配適，報酬分配方能優於其他基金組合。然而，二維基金組合普遍不存在大規模效果。單筆投資與定期定額投資法，分別在最低報酬與最高報酬組合中的大規模基金有較佳的報酬績效，且須與無風險性資產進行配適，方能優於其他規模組合。
Policy holders flexibly decide underlying investment and allocation proportion through the investment-oriented insurance, in addition the package of insurance and investment to be provided in the alternative ways has been decided. However, the economic circumstance dramatically fluctuates according to global market situation, which induces recession in the market value of investment-oriented insurance. Therefore, an effective asset allocation is important to investor preference and demand. This study applies stochastic dominance with and without risk-free assets to examine the mutual funds profitability according to average return portfolios and size portfolios targeted on investment-oriented insurance combination for the "M" life insurance company from 2003 to 2007. Our purpose concludes the dominating distribution of return based on various investment portfolios. The empirical result suggests that the highest return portfolios and the largest size portfolios separately collocate with the risk-free asset and then both portfolios have stochastically dominated others in one dimension. In addition, adopting dollar-cost averaging and lump sum investments, the largest size portfolios from the lowest and the highest returns separately have stochastically dominated others collocating with the risk-free asset.
期刊論文
1.林筠(199402)。期貨與選擇權避險效果評估指標。臺大管理論叢，5(1)，79-98。new window  延伸查詢new window
2.邱淑暖、許家豪(2002)。基金特徵與基金績效之關係。中華管理評論國際學報，5(4)，21-34。  延伸查詢new window
3.劉維琪、李佳伶(1993)。運用隨機優勢模式再探討台灣股市本益比效應。會計評論，24，1-24。  延伸查詢new window
4.Abhyankar, A.,、K.Y. Ho、H. Zhao(2009)。International Value versus Growth: Evidence from Stochastic Dominance Criteria。International Journal of Finance & Economics，14(3)，222-232。  new window
5.Best, R.J.,、R.W. Best、J.A. Yoder(2000)。Value Stocks and Market Efficiency。Journal of Economics and Finance，24(1)，28-35。  new window
6.Ke, M.C.,、Y.C. Chiang、T.L. Liao(2007)。Day-of-the-Week Effect in the Taiwan Foreign Exchange Market。Journal of Banking and Finance，31(9)，2847-2865。  new window
7.Kritzman, M.(1994)。What Practitioners Need to Know-about Time Diversification。Financial Analysts Journal，50(1)，14-18。  new window
8.Levy, H.、Kroll, Y.(1978)。Ordering Uncertain Options with Borrowing and Lending。Journal of Finance，33(2)，553-574。  new window
9.Liao, T. L.(2005)。Size Anomaly on the Taiwan Stock Exchange: An Alternative Test。Journal of Emerging Market Finance，4(1)，81-100。  new window
10.Muga, L.、R. Santamaria(2007)。The momentum effect: Omitted Risk Factors or Investor Behavior? Evidence from the Spanish Stock Market。Quantitative Finance，7(6)，637-650。  new window
11.Post, T.,(2008)。On the Dual Test for SSD Efficiency: With an Application to Momentum Investment Strategies。European Journal of Operational Research，185(3)，1564-1573。  new window
12.Quirk, J.P.、R. Saposnik(1962)。Admissibility and Measurable Utility Function。Review of Economic Studies，29(2)，40-146。  new window
13.Seyhun, H. N.(1993)。Can Omitted Risk Factors Explain the January Effect? A Stochastic Dominance Approach。Journal of Financial and Quantitative Analysis，28(2)，195-212。  new window
14.Whitmore, G. A.(1970)。Third Degree Stochastic Dominance。American Economic Review，60(3)，457-459。  new window
15.Constantinides, G. M.(1979)。A Note on the Suboptimality of Dollar-Cost Averaging as an Investment Policy。Journal of Financial and Quantitative Analysis，14(2)，443-450。  new window
16.葉銀華、陳志偉、邱顯比(200004)。基金經理人裁量性投資行為之研究。中國財務學刊，8(1)，1-31。new window  延伸查詢new window
17.聶建中、陳芾文、王友珊(20031100)。金融機構承做選擇權的模型風險與市場風險。風險管理學報，5(3)，295-317。new window  延伸查詢new window
18.Otten, R.、Bams, D.(2002)。European Mutual Fund Performance。European Financial Management，8，75-101。  new window
19.邱永和、陳玉涓、陳素緞、陳剴夫(20081100)。國內共同基金之績效評估。會計學報，1(1)，29-52。new window  延伸查詢new window
20.Hadar, J.、Russell, William R.(1969)。Rules for ordering uncertain prospects。American Economic Review，59(1)，25-34。  new window
21.王健安(20011100)。年度競賽觀點下共同基金經理人風險調整行為之研究。風險管理學報，3(2)，47-83。new window  延伸查詢new window
22.Malkiel, B. G.(1995)。Returns from Investing in Equity Mutual Funds 1971-1991。Journal of Finance，50(2)，549-572。  new window
23.Dubil, Robert(2005)。Lifetime Dollar-Cost Averaging: Forget Cost Savings, Think Risk Reduction。Journal of Financial Planning，18(10)，86-88+90。  new window
24.Fama, E. F.(1965)。The behavior of stock market prices。Journal of Business，38(1)，34-105。  new window
25.Muga, Luis、Santamaria, Rafael(2007)。The Momentum Effect in Latin American Emerging Markets。Emerging Markets Finance and Trade，43(4)，24-45。  new window
26.Roll, Richard(1977)。A Critique of the Asset pricing Theory's Tests, Part I: On Past and Potential Testability of the Theory。Journal of Financial Economics，4(2)，129-176。  new window
27.Sharpe, William F.(1964)。Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk。The Journal of Finance，19(3)，425-442。  new window
28.Pratt, John W.(1964)。Risk Aversion in the Small and in the Large。Econometrica，32(1/2)，122-136。  new window
29.Lintner, John(1965)。The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets。The Review of Economics and Statistics，47(1)，13-37。  new window
30.Menezes, C.、Geiss, C.、Tressler, J.(1980)。Increasing Downside Risk。The American Economic Review，70(5)，921-932。  new window
31.Hanoch, G.、Levy, H.(1969)。The Efficiency Analysis of Choices Involving Risk。The Review of Economic Studies，36(3)，335-346。  new window
32.Fong, W. M.、Lean, H. H.、Wong, W. K.(2005)。International Momentum Strategies: A Stochastic Dominance Approach。Journal of Financial Market，8(1)，89-109。  new window
33.Markowitz, H.(1952)。Portfolio Selection。Journal of Finance，7(1)，77-91。  new window
34.Mossin, J.(1966)。Equilibrium in a capital asset market。Econometrica，34(4)，768-783。  new window
35.Brennan, M.、Hughes, P.(1991)。Stock Prices and the Supply of Information。Journal of Finance，46(5)，1665-1691。  new window
36.Israelsen, C. L.(1998)。Characteristics of winning mutual funds。Journal of Financial Planning，11(2)，78-87。  new window
37.Kallberg, J. G.、Liu, C. L.、Trzcinka, C.(2000)。The value added from investment managers ： An examination of funds of REITs。Journal of Financial and Quantitative Analysis，35(3)，387-408。  new window
會議論文
1.林哲揚、許惠茹、陳佩瑜、謝佩玲、王鈺婷。經理人特質對共同基金績效之影響。2009金融創新與科際整合學術研討會。新竹：元培科技大學。  延伸查詢new window
圖書
1.Cohen, J.B.,、E.D. Zinbarg,、A. Zeike(1987)。Investment Analysis and Portfolio Management。New York：John Wiley and Sons。  new window
2.Levy, H(2006)。Stochastic Dominance: Investment Decision Making under Uncertainty。New York：Springer-Verlag。  new window
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
:::
無相關書籍
 
無相關著作
 
QR Code
QRCODE

臺灣人文及社會科學引文索引資料庫

目前上線人數：442（臺灣：435，外國：7） ／ 本年度總使用人次：2459241 ／ 訪客人次（自102年09月）：68253058
國家圖書館著作權聲明 Copyright © 2013 All rights reserved.
本館地址: 100201臺北市中山南路20號． 本館地圖及交通資訊．
總機：(02)23619132．最佳瀏覽解析度為1024x768以上