退休提領期間資產配置、提出率、成功率及分享率分析

Analysis of Asset Allocation, Withdrawal Rate, Success Rate and Sharing Rate During Retirement Period

張心語(Xin-Yu Zhang)

指導教授 ： 張森林

國立臺灣大學/管理學院/財務金融學研究所/碩士(2020年)

https://doi.org/10.6342/NTU202001053

摘要

隨著人口老齡化的加劇，退休理財逐漸引起人們的重視，市場上各類退休基金的規模也快速增長。退休儲蓄的資產配置是確定可持續提出率的基礎和關鍵，也是近年来眾多學者研究的重點。
本文選取1965年至2019年全球市場的歷史數據，根據台灣壽險業第二回年金生命表，模擬分析65歲退休的男性和女性，在退休提領期間採用不同資產配置策略和提出率時，投資組合的成功率。並且在此基礎上，分析使聯合養老系統維持運作的分享率，研究資產配置、提出率、成功率以及分享率之間的關係。
實證結果顯示增加投資組合中股票的比例能夠增加資產持續的時間，提高平均成功率。而且，在相同的風險程度下，提領期間始終保持初始的資產配置對投資組合的成功率更加有利。此外，在各資產配置模型中，對應不同的提出率，可以找到合適的分享率以戰勝傳統年金險。本文實證結果可供相關投資人參考，在考量自身風險承受能力的前提下，注意市場風險的變化情況，選擇最佳的投資組合、提出率以及分享率。

關鍵字

退休年金 ； 資產配置 ； 提出率 ； 聯合養老

並列摘要

As the aging population increases, retirement planning has attracted more attention, and the size of various retirement funds in the market has grown rapidly in recent years. The asset allocation of retirement savings is important to determine the sustainable withdrawal rate, and many scholars have studied this topic recently.
This dissertation selects historical data of the global market from 1965 to 2019. According to the Taiwan Life Insurance Industry Second Annuity Life Table, we simulate and analyze the success rate of the portfolios for men and women who retire at age 65 and use different asset allocation strategies and withdrawal rates during retirement period. We also analyze the sharing rate that keeps the Tontines system operating, and study the relationship between asset allocation, withdrawal rate, success rate, and sharing rate.
The empirical results show that increasing the percentage of stocks in the portfolio can increase the duration of the assets and improve the average success rate. Moreover, under the same level of risk, it is more beneficial for the success rate of the portfolio to maintain the initial asset allocation during the withdrawal period. In addition, in each asset allocation model, appropriate sharing rates can be found to defeat traditional annuity insurance corresponding to different withdrawal rates. The empirical results of this dissertation can be used by relevant investors for reference. Under the premise of considering their own risk tolerance, investors should pay attention to the changes in market conditions, and choose the optimal portfolio, withdrawal rate and sharing rate.

並列關鍵字

Pension Annuity ； Asset Allocation ； Withdrawal Rate ； Tontines

參考文獻

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