Title

醫療作業基金資産配置與風險值之研究

Translated Titles

Medical Funds Asset Allocation and Value at Risk

DOI

10.30087/APEMR.200503.0007

Authors

陳信宏;蔡憲唐;韋伯韜;吳俊德

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

PublicationName

亞太經濟管理評論

Volume or Term/Year and Month of Publication

8卷2期(2005 / 03 / 01)

Page #

129 - 145

Content Language

繁體中文

Chinese Abstract

我國醫療作業基金投資行為較為保守穏健,目前幾乎全部存放在銀行,近年來銀行存款利率持續走低的趨勢下,嚴重影響其收益率,對資金龐大的醫療作業基金而言,應可以考慮其他的投資管道以提昇其營運績效。本文經由馬可維兹MV模型之分析計算,將資産配置模型區分為限制不得投資股市的模型A及工放投資股票市場的模型B。兩個模型比較結果顯示,開放小部分資金投資股市可以分散風險,但由模型B顯示投資股市比例超過4%時風險增加迅速。另外,本研究以變異數-共變異數法與蒙地卡羅模擬法計算醫療作業基金資産配置模型的風險值(VaR),最後提出具體建議供決策單位制定投資法規與選擇資産配置之參考。

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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Times Cited
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