退休者自主性投資策略與財務安全之研究

A Study on the Self-investment Strategies and Sustainable Spending of Retirees

呂瑞秋(Richard Lu) ； 陳柏伸(Po-Shin Chen)

《風險管理學報》 10卷3期 (2008/11) Pp. 279-291

https://doi.org/10.30003/JRM.200811.0003

摘要

退休者的消費支出率、退休金的投資配置（Investment and Assets Allocation）與退休者的壽命長短是退休者財務是否安全的三大因素。本論文探討在給定的消費支出率與指數死亡率模型下，投資策略如何影響退休者的財務安全。本文除依循Milevsky（2006）的研究架構使用合成部位策略外，另再加入投資組合保險策略、及調整權益投資比重（不同的股票及銀行帳戶比例配置）策略等，並以蒙地卡羅模擬退休者發生財務缺口的機率；除此之外，也模擬選擇權交易成本存在下的情況。由模擬結果可推論出，在權益投資風險溢酬不高且權益投資風險較小下，調整權益投資比重的策略具有優勢。在權益投資風險溢酬夠高時，選擇權交易策略，亦即合成部位策略與投資組合保險策略，才優於調整權益投資比重策略；選擇權交易成本低時，合成部位策略較投資組合保險策略為佳。

關鍵字

財務規劃 ； 資產配置 ； 投資策略

並列摘要

One of the critical issues for a retiree is how to build a portfolio that will provide a sustainable income flow over the uncertain length and cost of the human lifecycle. A successfully retirement plan depends on three factors-investment risk, spending rates and longevity risk. By using Milevsky's (2006) analytic formula and Monte Carlo simulation, this paper investigates how investment strategies affect the retirement ruin risk under an exponential mortality model and some fixed spending rates. The investment strategies, under consideration, include straight equity-based portfolio, protective put portfolio (equity asset + long put), collared portfolio (equity asset + long put + short call) and portfolio with a fixed proportion of equity assets and bank accounts. The results indicate, with low equity risk premium and low equity price volatility, the fixed proportion strategies have lower ruin probability. However, under high equity risk premium, using options strategies (protective put or collar) is better than equity plus bank accounts investment, in the sense of low ruin probability. Further, between protective put strategy and collared strategy, it depends on transactions costs. Low transactions costs favor the collared strategy.

並列關鍵字

Financial Planning ； Assets Allocation ； and Investment Strategy

參考文獻

Ameriks J.,R. Veres.,M.J. Warshawsky(2001).Making Retirement Income Last a Lifetime.Journal of Financial Planning.14,60-76.

Bengen, W.P.(1994).Determining Withdrawal Rates Using Historical Data.Journal of Financial Planning.7,171-181.

Black, F.,M. Scholes(1973).The Pricing of Options and Corporate Liabilities.Journal of Political Economy.81,637-659.

Bodie, Z.,D.B. Crane.Personal Investing: Advice, Theory, and evidence.Financial analysts Journal.53,13-23.

Cooley, P.L.,C.M. Hubbard,D. T. Walz(1998).Retirement Spending: Choosing a Withdrawal Rates That Is Sustainable.Journal of American Association of Individual Investors.20,39-47.