本論文將「資產配置模型」運用於「退休金提撥率」與「房貸支出」，基於個人有限之勞動所得資產配置的前題下，因應台灣退休金制度已由「確定給付制」改為「確定提撥制」，在新制度之下，允許個人彈性調整提撥退休金數額，並不會因為工作的轉換而影響，此新制可能影響個人的資產配置比重；其次，隨著金融機構產品個人化的趨勢，多數金融機構允許\\個人可以調整房貸月支付額，以符合個人整體效用，可調整的房貸月支付額可能會使個人的資產配置產生一定的效應。因此本文希望藉由Campbell(1993)與Viceira(2001)之模型設定，對上述二項主題進行說明與討論，由數值模擬中得到變數之間微妙的變化，並予以說明。

The research investigates the application of asset allocation model to pension structure and mortgage payment. The defined contribution pension plan has become the main pension plan in Taiwan. In this pension plan, labors could adjust the contribution rate to maximize their utility function even if they change jobs. Thus, the pension plan may cause changes in their optimal asset allocation. In addition, due to the financial innovations of personalized debt instruments, lenders are allowed to adjust the mortgage payment to maximize personal utility function and hence the adjustable payment ratio could also change the lenders’ optimal asset allocation. This study presents an extended intertemporal asset allocation model of Campbell(1993) and Viceira(2001) to investigate the effects of defined contribution pension and mortgage payment. The numeric simulation is also present to demonstrate the effects on labors’ optimal asset allocation.

論文目錄
第一章 緒論
第一節 研究動機 1
第二節 論文架構 12
第二章 文獻探討
第一節 退休金提撥率議題 13
第二節 房貸議題 16
第三節 資產配置 18
第三章 模型
第一節 基礎模型與設定 22
第二節 近似均衡解 30
第三節 小結 33
第四章 數值模擬
第一節 參數設定 36
第二節 模擬結果 38
第三節 小結 46
第五章 結論與建議 47
參考文獻 50
附錄 56

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