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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/53892


    Title: 因應退休準備之投資策略的探討(I)
    Other Titles: A Study of Optimal Investment Strategy for Retirement Preparation
    Authors: 黃泓智
    Contributors: 國立政治大學風險管理與保險學系
    行政院國家科學委員會
    Keywords: 退休;投資
    Date: 2008
    Issue Date: 2012-10-22 15:44:36 (UTC+8)
    Abstract: 勞工退休金條例的實施喚醒國人對退休後生活的重視，開始著重退休財務規劃。確定提撥制下，提撥期間退休準備金之運用深深影響退休時之帳戶金額，對員工影響甚鉅，故資金運用乃是由員工自行決定，投資風險由員工承擔，而投資報酬率對退休所得替代率影響甚鉅，提升報酬率能讓員工退休時有足夠的退休金，當考量退休金能有抗通貨膨脹風險時，更需要較高的報酬率來避免通貨膨脹風險。 本研究採用隨機投資模型模擬股票、債券及兩年期定存報酬率，運用不同投資策略，衡量各種可能投資組合之投資績效與風險，並進一步設計各投資策略之生命週期投資模式，以期分析多期投資策略是否有較大之報酬率、較小之風險。本研究建立最適投資策略之目標函數，供投資者選擇適用之目標函數，在設定控制變數下，尋找最適資產配置。 在不考慮生命週期策略時，CM投資策略最為有效率，且單位風險報酬最高，CPPI則無論投資組合如何配置，都具有高風險高報酬之特性。比較生命週期時，35年期投資期間，TIPP生命週期投資策略較TIPP為佳，而BH生命週期在35年與20年投資期間有較BH有效率之現象。當高風險投資標的變異大時，不宜採用高風險之投資組合，會造成高風險低報酬之情形。另投資者可以根據本研究之最適投資策略設定，選擇最符合自身風險之最佳資產配置策略。
    The emphasis on the post-retirement life and the financial planning for retirement has increasingly risen after the new domestic pension system. Under the system of Defined Contribution Plan (DC), the amount in the account , or the benefits, on retirement , is affected by the performance of the investment, and the investment risk and investment rewards are assumed by each individual or employee, therefore, how to let the investment returns and the benefits are high enough for retirement is a issue. This study simulates the stock return, bond return and the two-year time deposit by stochastic investing model, and applies different strategies to see their risk and return. Furthermore, we design a new investing pattern for each strategy called lifecycle to see if it yields higher return and less risk for multi-period investment strategy. The goal of this study is to find the optimal asset allocation under the objective function which is suitable for the investors. The results show that the Constant mix (CM) strategy is the most efficient and the Constant Protection Portfolio Insurance (CPPI) strategy always has the characteristic of both high return and risk. When compared with the performance of lifecycle pattern, Time-Invariant Protection Portfolio Insurance (TIPP) lifecycle is better than TIPP in the term of 35 years, the BH lifecycle seems to be more efficient than BH for the time horizon of 20 and 35 years. We also see that when the volatilities of high return asset increase, we should not form the high risk portfolio because it probably will result in high risk and low return. To sum up, investors can choose their optimal asset allocation strategy according to the analysis of this study.
    Relation: 基礎研究
    學術補助
    研究期間:9708~ 9807
    研究經費:249仟元
    Data Type: report
    Appears in Collections:[風險管理與保險學系] 國科會研究計畫

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