本篇論文檢驗確定提撥制退休金計畫中資產配置之效率損失。確定提撥制退休金計畫允許員工自己選擇退休基金的投資運用方式,但是從過去的文獻發現,由於員工未受過專業的投資訓練,不諳理財投資技巧,不熟悉各種理財工具之特性,因此員工在決定退休基金的資金運用時,會傾向於用天真的資產配置策略來投資。我們利用道瓊工業指數中的公司之確定提撥制退休金計畫為實例,來探討天真資產配置策略的效率損失。我們的研究結果發現,天真的資產配置不是一個太差的投資策略,尤其是當公司(雇主)給予員工較多樣的選擇時。
This paper examines the degree of portfolio inefficiency in defined contribution pension plans. The participant or the employer (or both) contribute to the participant's individual account under the plan, and these contributions generally are invested on the participant's behalf. Individuals are given same responsibility to make their own asset allocation decisions. But the participants have no useful information about the future risks and returns of individual options offered by the plan, so they prefer to invest according to the concept of naive diversification. This paper measures the efficiency losses of naïve portfolios about investment options offered in defined contribution plans of companies of Dow Jones Industrial Average. Our results show that a naïve diversification strategy is not a very stupid strategy because the efficiency loss is small, especially when the employers provide more kinds of options to participants.