Translated Titles

Medical Funds Asset Allocation and Value at Risk





Key Words

資産配置 ; 平均數-變異數投資組合模型 ; 醫療作業基金 ; 風險值 ; Asset Allocation ; Mean-Variance Portfolio Model ; Medical Funds ; Value-at-Risk VaR



Volume or Term/Year and Month of Publication

8卷2期(2005 / 03 / 01)

Page #

129 - 145

Content Language


Chinese Abstract


English Abstract

The investment behaviors of Medical Operation Funds are conservative. Most of the capital is deposited in banking. In recent years, the interest rate of banking has declined dramatically. This affected the return rates of Medical Operation Funds. Therefore, these Funds seem need to invest in other asset classes to raise returns. This paper applies Markowitz mean-variance portfolio model to build up two asset allocation models. Stocks investment is not allowed in model A, whereas model B permits investment in stocks market. According to comparison of these two models, we find that investing small proportion of capital in stocks is helpful to diverse risk and improve return rate. However, the risk of the portfolio increase speedily when stocks investment weight over 4%. In addition, this article uses Variance-Covariance Method and Monte Carlo simulation to evaluate the VaR of Medical Operation Funds. Finally, we proposed several suggestions relating to funds management regulations and asset allocation.

Topic Category 社會科學 > 經濟學
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