本文主要在探討時變環境下,跨期退休基金管理之最適動態資產配置策略。在納入退休基金管理中二項重要的特性:多期投資與退休基金負債的考量後,提出退休基金的最適跨期資產配置策略,本文同時利用Sharpe and Tint (1990) 所提出的彈性考量退休基金負債的觀念,納入本文之模型設定當中,使本文能同時涵蓋不同退休基金管理者之不同類負債考量進入資產配置之最適配置策略。本文所提出之跨期退休基金管理之最適動態資產配置策略,除了包含單期與面對時變環境下之跨期避險成分外,更提出退休基金管理者如何依據其退休基金之特性,建構其資產配置中之退休基金負債避險成分。
In this paper, we examine the optimal dynamic asset allocation strategy in relation to a pension fund with a time-varying investment opportunity set. The sources of changes in the investment opportunity set in our model possess time-varying volatility and risk premia. We deal with the pension fund asset allocation problem, characterized by time-varying volatility, by using Sharpe and Tint’s (1990) liability approach and Merton’s (1993) intertemporal capital asset pricing methodology regarding the optimal investment strategies for university using perturbation methods. In contrast to Merton (1971, 1993), we propose a new liability hedging component in the dynamic asset allocation in addition to the intertemporal hedging component for pension funds in order to hedge against changes in the pension fund liability in our model.