A Framework for Decision Support System of Postal Risk Funds’ Allocation Strategy
Professor Sou-Shan Wu
Professor Her-Jiun Shen
|關鍵字:||風險值;資產配置;決策資源系統;最適投資組合;Value at Risk(VaR);Asset Alocation;Decision Support System(DSS);Optimal Investment Portfolio|
3、 若以夏普比率(Sharpe Ratio)，為投資績效之評估依據，則其最高轉折點為股票佔65.2026%、債券佔18.3660%與票券之16.4314%，計算出之夏普比率為2.495，為最佳之投資組合。
4、 若以風險比率(Risk Ratio)，為投資績效之評估依據，則其最高轉折點為股票佔45.2026%、債券佔38.3660%與票券之16.4314%，計算出之風險評值為850,428,000元，報酬率為8.28%，為最佳之投資組合。
A Framework for Decision Support System of Postal Risk Funds’ Allocation Strategy Student： Doing-Liang Chen Advisors：Professor Sou-Shan Wu Professor Her-Jiun Shen Institute of Business and Management College of Management National Chiao Tung University Abstract Postal Remittances Savings Banks is an important member of financial institutions. For a long time, the PRSB is featured with stable operations and widespread branches and able to aggregate a vast amount of capitals thus have become a major tool for government to implement monetary policies and played a critical role in national monetary market. This paper combines finance and information, applying the risk evaluation theories and asset allocation theories of financial management, as well as the decision support systems of information management, to develop the risky decision support systems for asset allocation, with PRSB as an example in the research. This research intends to determine the requirements for appropriate and sufficient capitals of financial institutions on the basis of the risk evaluation in the allocation of PRSB’s risky assets and capitals. The ideology of risk evaluation is also applied to other financial management practices, for example, its application in determining the risk-bearing limits and decision support for asset reallocation as discussed in this research. This paper uses PRSB’s financial statements for the fiscal year of 1999, supplemented with other information related to PRSB’s stocks, bonds and debentures, measures the maximum internal risk by a quantitative method hoping to enable PRSB to discover its potential risks in time, thus change any fragile positions in its asset structure, adjust its asset allocation and limit the risk quantity and risk-bearing positions accordingly, develop a risky decision support system for strategic allocation, so as to improve the investment performance of postal remitted cash flows. The research results of this paper are summarized as below: 1. The major component of PRSB’s capitals exposed to market risks is the investment in stocks and ADRs, whose values are immensely affected by the ups and downs on stock market. 2. The largest amount of money is invested in stocks for high returns. However, don’t forget the underneath high risks. Hence close watch on the risk contribution of individual stocks is a must. It also requires frequent adjustment of investment positions. In case of an overly large Beta, a change in the investment portfolio or a short position is necessary to reduce the risk contribution by multiplication. 3. When Sharpe ratio is used as the investment performance evaluation criterion, the turning point at peak is where stocks reach 65.2026%, bonds 18.3660% and debentures 16.4314%, with the computed Sharpe ratio of 2.495 for the optimal investment portfolio. 4. When Risk ratio is used as the investment performance evaluation criterion, the turning point at peak is where stocks reach 45.2026%, bonds 38.3660% and debentures 16.4314%, with the calculated amount of risks of NT$850,428,000 and return of 8.28% for the optimal investment portfolio. 5. If the minimum risk within the budget of fiscal year 1999 (assume the rate of return on the risky assets within the budget is 7.96%) is used as the investment performance evaluation criterion, the optimal investment portfolio is consisted of 40.2026% stocks, 43.3660% bonds, and 16.4314% debentures, with the risk amount of NT$838,965,000 and the return of 8.09%.
|Appears in Collections:||Thesis|