保險業國外投資之資產配置

Asset Allocation for Foreign Investment in The Insurance Industry

王郁婷(Yu-Ting Wang)

指導教授 ： 曾郁仁

國立臺灣大學/管理學院/財務金融學研究所/碩士(2019年)

https://doi.org/10.6342/NTU201900910

摘要

本篇延伸自王怡雯，2005，「一籃子貨幣之資產配置與風險衡量」的研究論文，進一步把樣本期間拉長並更新為近五年資料，以月報酬為單位計算投組報酬率、標準差及變異數，最後將投資限額納入探討。台灣壽險業負債組成一大部分為長年期保單，故在進行資產負債管理時，資產面也需以長期投資的資產配置策略為主，但以台灣投資環境而言，除了缺少長期投資標的外，報酬也普遍上低於國外，使近年來資金大幅外移，分布國家以美國占比最高，本篇論文將探討壽險業進行國外投資時僅投資在美國，與多元投資在不同國家之間的差異，比較多元投資是否會使整體投資績效來的更好。
本研究針對2014至2019年之各國股價指數月資料進行平均數－變異數分析發現，加入美國及其他七個國家進行資產配置後，效率前緣相較於僅投資在美國更往外移，使得壽險業在相同風險下獲得較高報酬，原因來自於各國之間的相關係數呈現中、低度相關，因此能夠更有效地分散非系統風險，另外，為了能更貼近現實狀況，本文進一步考慮目前國外投資在限額45%之下，效率前緣的變化，研究發現，效率前緣仍大幅外移，且與無限額下的效率前緣差距不大，原因在於近五年內，台灣投資環境相較於其他國家來說相對穩定，因此受到國外投資限額的影響不大。

關鍵字

國外投資 ； 資產配置 ； 投資限額 ； 效率前緣 ； 平均－變異數分析

並列摘要

A large part of Taiwan's life insurance industry's liabilities is a long-term policy. so in the assets and liabilities management, the asset-side strategy of long-term investment is also required. However, in terms of Taiwan's investment environment, in addition to the lack of long-term investment targets, the return is not as good as that of foreign countries. Although the proportion of Taiwan’s life insurance industry in foreign investment is gradually rising, the foreign investment distribution countries still have the highest proportion in the United States. This study investigates the difference between life insurance industry’s investment only in the United States and diversified investments in different countries. Whether more diversified investment will make overall investment performance come better.

Based on the average-variance analysis of the monthly stock price index of the countries from 2014 to 2019, this study found that after joining the US and other seven countries for asset allocation, the efficiency front is more outward than invest only in the US, because the correlation coefficient between countries presents medium and low correlation, the life insurance industry obtains higher returns under the same risk , In addition, in order to be closer to reality, this study further considers the investment is below the limit of 45%, and the change in efficiency frontiers. The study found that the efficiency front is still largely shifted, and there is not much difference between the efficiency front and the no-limit efficiency. The reason is that in the recent five years, Taiwan's investment environment is relatively stable compared with other countries, so it is not affected by foreign investment quota.

並列關鍵字

Foreign investment ； asset allocation ； investment quota ； efficiency frontier ； average-variance analysis

參考文獻

一、 英文參考文獻

1. Grubel, Herbert G, International Diversified Portfolio：Welfare Gains and Capital Flows, The American Economic Review, December 1968, p.1299-1314.

2. Haim Levy and Marshall Sarnat, International Diversification of Investment Portfolios, The American Economic Review, September 1970, p.668-675.

3. Jorion, Philippe, Asset Allocation With Hedged and Unhedged Foreign Stocks, Journal of Portfolio Management, Summer 1989, v15(4), p.49-54.

4. Markowitz, H. M. Portfolio Selection, The Journal of Finance, March 1952, 7(1), p.77-91.