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題 名 | 確定給付制之最適資產配置與攤提決策=Optimal Asset Allocations and Amortization for Defined Benefit Schemes |
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作 者 | 繆震宇; | 書刊名 | 淡江人文社會學刊 |
卷 期 | 31 2007.09[民96.09] |
頁 次 | 頁51-66 |
分類號 | 573.43 |
關鍵詞 | 未提存應計負債; 退撫基金; 動態規劃; 資產配置; Unfunded accrued liability; Tai-PERS; Dynamic programming; Asset allocation; |
語 文 | 中文(Chinese) |
中文摘要 | 本研究以一個符合實務規範的退休基金管理模型,探討退休基金最適的資產配置決策以及未提存應計負的最適攤提決策,並且以退撫基金作為模型應用的對象,得到的結論有:一、適當的攤提決策有助於降低基金的風險,並且在制定攤提決策時應該考慮基金的期初積儲狀況。二、本文所找出的資產配置是屬於非常積極的投資策略,兩年期定存約在10%以下,股票的投資比重則在90%以上。三、長期而言,本模型所建議的資產配置有助於基金資產的累積。四、平均提撥率在絕大多數的期間都低於1,甚至有負提撥的可能,這對於提高退休給付或是降低基金風險具有實質的意義。 |
英文摘要 | This study develops a pension management model that is in line with the practical requirement to find the optimal amortization of unfunded accrued liability and optimal asset allocations in a defined benefit pension scheme. Tai-PERS is studied for illustration. The results of the simulation indicate: (1) A proper decision to amortization can reduce a pension’s risk. The initial fund ratio is relevant to the optimal amortization. (2) The optimal asset allocation is very aggressive. Less than 10% of assets are allocated in 2-year deposits and more than 90% of assets are invested in stock. (3) Aggressive asset allocations are helpful to increasing fund. (4) Average contribution ratios are less than one in almost all periods. There is the probability that pension benefit can be raised or the fund risk can be reduced in the long term. |
本系統中英文摘要資訊取自各篇刊載內容。