公務人員退休撫卹基金資產配置對財務經營績效之影響

Abstract

本研究依據Markowitz 的Mean-Variance模型為主要架構，建構可投資範圍內的效率前緣（Efficient Frontier），以退撫基金各項運用投資項目的預期報酬率，作為計算基礎，先比較在投資比例無限制及設限下，其操作靈活度對績效之影響，以該基金各年度目標報酬率為本研究計畫應達到之最低報酬率。再以退撫基金現行法令規定之下，各年度資產配置允許變動範圍內，依先前試算之最適配置，考量風險性，以風險趨避者（規避係數高）角色，求取最適資產配置，最後以退撫基金實際報酬率回測本研究模擬計算後之資產配置，證實退撫基金可以較為積極性投資，提升基金績效。

In this study, based on Markowitz`s Mean-Variance model as the main framework for the construction of efficient frontier can invest range （Efficient Frontier）, Management Board of Public Service Pension Fund to use the expected rate of return on the investment project, as calculated on the basis, first compare the investment ratio unlimited and under restrictions, the impact of its operations on the performance of flexibility to the funds target rate of return for each year the minimum rate of return of this project should achieve. Then to the Management Board of Public Service Pension Fund under the current regulations, each year the asset allocation changes within the allowable range, depending on the optimal configuration of the previous trial, considering risk, risk-averse （aversion coefficient） role, to strike the optimal asset allocation, and finally to the actual rate of return on Management Board of Public Service Pension Fund asset Allocation backtesting simulation after the study confirmed that the Pension Fund can be more incentives to invest, improve fund performance.