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題 名 | 不同投資策略下勞退新制收益率保證成本與所得替代率之探討=A Study of the Impact of Investment Strategies on Guaranteed Cost and Income Replacement Ratio under Taiwan New Labor Pension Plan |
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作 者 | 楊曉文; 唐俊華; | 書刊名 | 財務金融學刊 |
卷 期 | 17:1 2009.03[民98.03] |
頁 次 | 頁143-172 |
分類號 | 563.79 |
關鍵詞 | 勞工退休金制度; 確定提撥制; 收益率保證; 行為財務學; 處分效果; Labor persion mechanism; Defined contribution plan; Guaranteed rate of return; Behavioral finance; Disposition effect; |
語 文 | 中文(Chinese) |
英文摘要 | The labor pension plan in Taiwan was reformed from defined benefit (DB) plan to defined contribution (DC) plan in July 2005. The operation of the pension fund is under a single-fund design and incorporates a minimum rate of return guarantee. This paper attempts to evaluate the cost of such guarantee and investigate how investment strategies affect the guarantee cost and the income-replacement ratio under a multiple-fund setting. We consider the buy-and-hold strategy, threshold strategy and the strategies related to the past performance of the alternative portfolios. We adopt Monte Carlo simulation to carry out the numerical analysis. The numerical results show that when employees do not need to pay for the guarantee, they can choose the risky portfolio with high expected rate of return to maximize their expected retirement benefits. In addition, the guarantee cost is affected by investment strategies, the parameters of the interest-rate model and the transaction cost. |
本系統中英文摘要資訊取自各篇刊載內容。