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Title: 公務人員退休撫卹基金之資產負債管理
Authors: 彭愛蘋
Contributors: 王儷玲
Keywords: 退休基金
Pension Plan
Asset Liability Management
Interest Rate Risk
Date: 2001
Issue Date: 2016-04-18 16:28:55 (UTC+8)
Abstract: 本研究以免疫理論(Immunization Theory)與投資組合理論(Portfolio Theory)來架構退休基金的資產負債管理模型,希望在免除利率風險的情況下,極大化退休基金的投資報酬率。本文以退撫基金86年到88年實際投資的實證資料及其對未來給付支出的預測模擬值,在不同考慮年限與提撥率下,建議其最適投資組合,並計算出資產負債管理的成本。最後,再以84年到88年市場平均資料的實證結果,支持並驗證我們以退撫基金內部資料所做的實證結果。研究發現:
This paper investigates the Asset-Liability Management for pension fund. We utilize Immunization Theory and Portfolio Theory selection model to immunize the surplus of pension funds against interest-rate fluctuations and to maximize expected return of pension fund simultaneously. In addition, we use the public trading data of the investment market in Taiwan from 1995 to1999 and the data from the Taiwan Public Employees Retirement System(TPERS)from1997 to 1999 to demonstrate the implementation of our model. We calculate the optimal asset allocation and the ALM cost under different time horizons and contribution rates. The empirical results from this study show that:
Reference: 中文部分
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Description: 碩士
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Data Type: thesis
Appears in Collections:[風險管理與保險學系] 學位論文

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