指數型風險下我國公務人員退撫基金動態資產配置之研究

本文以隨機動態規劃探討我國公務人員退撫基金的最適資產配置決策，藉由指數函數作為風險衡量指標可以忠實反映退休基金的風險，提高決策的正確性，不限制退休基金的資產數目與不能放空資產使得本研究的結果具有解決實際問題的重要意涵，同時將模擬結果與JR模型比較，得到的結論有﹕（一）退撫基金的最適配置比例為2年期定存7%~9.5%、歐洲股市9%~13%、日本股市12%~16%、北美股市40%~45%、台灣股市23%~27%，（二）藉由積極的資產配置，退休基金在未來有可能提高退休給付或成為免費的午餐，（三）在不攤提未提存應計負債的情形下，本研究的資產配置策略會使得退撫基金承擔較高的風險，（四）當退撫基金發生積儲不足的情形時採取積極的資產配置策略有助於基金資產的累積，（五）JR模型的資產配置較本文保守，從而其提撥率高於本模型，積儲率低於本模型，然而此結果並不具有顯著性，（六）JR模型在積儲完全時採行保守的資產配置與過度樂觀的提撥決策，會造成基金喪失資產增值的機會，導致日後會發生積儲水準長期處於不足的情形，而本研究的資產配置與提撥決策則可以避免此一情形。

關鍵字

動態規劃；退撫基金；資產配置；指數型風險

並列摘要

This study develops a dynamic programming model to find the optimal asset allocations and contributions. The results of this simulation indicate, I) The optimal asset allocation for CSPF are 7%~9.5% in domestic two-year deposit, 9%~13% in Europe stock market, 12%~16% in Japan stock market, 40%~45% in North American stock market, 23%~27% in Taiwan stock market. II) pension benefit can be raised or benefit becomes as a free lunch if aggressive asset allocation is adopted by pension fund. III) Aggressive asset allocation pension fund more risky if unfunded accrual liability is not amortized. IV) The asset allocation should be more aggressive when the pension fund is under-fund. V) The asset allocation of JR model is more conservative than our results. This causes the average fund ratio levels are lower and the average contribution ratio levels are higher than our results. However, it is not significant. VI) The asset allocations are over conservative and the contributions are over optimistic for the JR model in the fully/over-funded situations. This will cause the fund ratios lower than one in the long term.