第五章 結論與建議
第二節 建議
國
立 政 治 大 學
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N a tio na
l C h engchi U ni ve rs it y
當定價誤差確定後，其股票部位及債券部位之比例及確定，也就是說定價誤 差對於投資組合有直接的影響，除此之外，定價誤差較小的情況下，投資於 股票部位的比例較低，因為定價誤差較小，債券較準確，因此在債券部位之 獲利率相較於誤差大的高，也使得投資於股票比例縮小，而對於無定價誤差 的狀態下，因無定價誤差，因此在債券部位無利用交易獲利的套利空間，因 此會有較高的股票投資比率，
考慮負債面下的多期最適配置結果：
與原方法相同，但因為不同繳別之商品，非躉繳型商品因為有新錢流入，
與支出可互相抵消，因此資產配置結果會改變，本研究未考慮有新錢流入之 狀況，僅考慮躉繳型商品之負債，因此結果與原方法相符。
第二節 建議
本研究討論在不同誤差係數下之最適配置，可以發現在考慮定價誤差下對於 投資組合有明顯的影響，因為模擬利率波動所產生的誤差會直接影響債券價格，
而本研究設定全段時間之誤差係數皆相同，因此後續研究可以討論誤差模擬，使 得債券價格更準確。
效用函數方面，本研究僅以一種效用函數，後續研究可以加入不同的效用函 數討論，例如指數型或次方型效用函數等。在考慮負債部分，因為商品繳別不同，
本研究為簡化模型計算，不考慮新錢流入，後續可再深入討論，針對不同繳別、
不同類型之商品做出不同現金流量模型，以估計最佳配置。
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立 政 治 大 學
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N a tio na
l C h engchi U ni ve rs it y
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