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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/74106

    Title: 勞保基金資產配置之研究
    Other Titles: A study on the asset allocation of Taiwan labor insurance fund
    Authors: 翁尚怡;Weng, Shang-Yi
    Contributors: 淡江大學保險學系保險經營碩士班
    陳登源;Chen, Ding-Yuan
    Keywords: 資產配置;投資組合;效率前緣;Asset Allocation;investment portfolio;Efficient Frontier
    Date: 2011
    Issue Date: 2011-12-28 18:04:55 (UTC+8)
    Abstract: 勞工保險為台灣第一個實行的社會保險制度,隨著高齡化的時代來臨,老年年金之支出也越來越龐大, 若要維持勞工保險制度的運作, 就必須使勞工保險基金擁有穩健的財務狀況。國內外許多學者皆認定資產配置為影響基金績效最重要的因素。
    Labor Insurance program is the first compulsory social insurance program in Taiwan. The fast aging population has caused increasing spending on old-age pension benefits in the last decade. In order to maintain a continuous operation, the program must first establish a stable financial system. “Asset Allocation” has been the most important determinants of the portfolio performance identified by many scholars. Using the Mean-Variance Model of Markowitz, this study consists of six periods, from1991-2010; separated by three years、five years、ten years、twelve years、fifteen years and twenty years, with nine different investment tools to discuss the optimal asset allocation in different periods.
    The study shows that in the least risky investment portfolio, percentage of fixed income (bonds/commercial bills) is higher than the percentage in stock equity because variance of fixed income is always smaller than stock equity. This study also finds that the longer the period time, the higher the return on investment in fixed income. This result is due to the fact that interest rates were higher in earlier years. On the other hand, return on investment in stock equity will not be affected by the length of period time, as it can be easily affected by other environmental factors.
    Appears in Collections:[保險學系暨研究所] 學位論文

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