台湾退休基金资产配置之研究－以公务人员退休抚恤基金为例.pdf

管理科學研究 Vol.3, No.1, 2006 第75-98 頁 台灣退休基金資產配置之研究－以公務人員退休撫卹基金為例 Domestic Asset Allocation Algorithm for Pension Fun d－A Case Study of Public Employees Retirement System 1 2 3 4 林進財 陳啟斌 李秋燕 吳明儒 (Received: Aug. 1, 2005；First Revision: Dec. 13, 2005；Accepted: Feb. 9, 2006) 摘要 本文著重於台灣退休基金資產配置重要性之實證研究，並試圖找出一合理可行決定 資產配置之程序及方法，以做為退休基金管理單位進行資產配置規劃時之參考。本文利 用多種情境及不同期間報酬改進傳統方式，如平均數-變異數資產配置理論對投入要素 估計誤差之情形。同時藉由最低要求報酬和最大機率法等最適投資組合決定方法，來改 變其最低要求報酬、可容忍損失機率、投資期間和目標報酬率等因素，以瞭解投資期間、 基金要求最低報酬率及基金管理者風險態度對基金資產配置決策之影響。 關鍵字：退休撫卹基金資產配置、多種情境資產配置模式、投資期間、需求報酬率 Abstract This paper puts emphasis on the empirical study of the importance of Taiwan pension fund asset allocation and attempts to develop a proper process of asset allocation decision-making method as a reference of the pension fund sponsors dealing with this task. This paper tries to use the scenario-based asset allocation model and different investment horizon to improve the estimated errors of input element in traditional mean-variance optimization model. Besides, based on the investment portfolio determining methods of both the minimum required return rate and the maximum probability method, and through changing the minimum required return rate, the probability of tolerance loss investment horizon and target return rate, it is easy to understand the investment horizon, required return rate and attitude of investor toward risk how to influence the asset allocation decision. Keywords : Pension fund asset allocation, multi-scenario-based assets allocation model, investment horizon required r