國民年金保險基金資產配置研究; A Study of the Asset Allocation for Taiwanese National Pension Fund

NCUIR > School of Management at National Central University > Executive Master of Finance Management > Electronic Thesis & Dissertation > Item 987654321/48861

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Title:	國民年金保險基金資產配置研究;A Study of the Asset Allocation for Taiwanese National Pension Fund
Authors:	楊曉蓓;Hsiao-pei Yang
Contributors:	財務金融學系碩士在職專班
Keywords:	最適投資組合;資產配置;國民年金;Mean-Variance 與Mean-VaR 模型;Asset Allocation;National Pension Fund;Mean-Variance andMean-VaR model
Date:	2011-07-21
Issue Date:	2012-01-05 15:08:31 (UTC+8)
Abstract:	本研究以投資標的之歷史報酬率及變異數資料，分別以Mean- Variance 模型及Mean-VaR 模型建構2006 年至2010 年政府基金投資組合最適資產配置，再以資產配置當年度標的資產之實際報酬率回測投資組合所能達到的報酬率，實證結果發現，在未要求達到一定報酬率下，以Mean-VaR 模型所做之最適資產配置回測報酬率，無論在多頭或空頭市場，均高於Mean-Variance 模型，故本研究以 Mean-VaR 模型配置2011 年國民年金保險基金之最適資產配置，在無設定風險限額及設定風險限額分別為20%、15%及10%情況下，探討2011 年國民年金保險基金之各標的資產之配置比重、成份風險值及期望報酬率，並與國民年金保險基金之實際資產配置作比較。以Mean-VaR 模型配置國民年金保險基金之最適資產配置比例，與其實際資產配置相較，國民年金保險基金之約當現金的配置比例太高，而國外債券的配置比例太低，建議國民年金保險基金應減少約當現金的配置比例，增加國外債券的配置比例。而為達到目標報酬率7.58%下，所需承受的風險值很高，故應檢討國民年金保險基金現行保險費率及給付條件是否適當，並建立調整機制。 This study applies Mean-Variance and Mean-VaR models to construct the optimal asset allocation for Taiwan government pension funds. The empirical results show that the Mean-VaR model outperforms the Mean-Variance model in both bull and bear markets for the period 2006 to 2010. Thus we use the Mean-VaR model to construct the optimal allocation for 2011 National Pension Fund and compare it with actual allocation. We find that the actual weights allocated by National Pension Fund are too high for cash equivalents, and too low for foreign bonds. Meeting the target rate of return 7.58% implies a very high value at risk for the fund. We suggest that the National Pension Fund should optimize its asset allocation and review the current insurance premium.
Appears in Collections:	[Executive Master of Finance Management] Electronic Thesis & Dissertation

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