| Summary: | 碩士 === 國立臺灣大學 === 財務金融學研究所 === 91 === Using data from Taiwan, this paper intends to present and consider alternatives for reducing pension fund investment risk and increasing pension fund investment efficiency.
Blake et al. [2001] and Booth et al. [2000] both have studied investment strategies for defined contribution plans using data from the United Kingdom. Their results show that dynamic asset allocation strategies do not perform better than traditional investment methods.
Our scenario analysis shows an identical pattern for the pension investment strategies we consider. In general, aggressive strategies that invest heavily in stocks outperform other strategies. In our simulations, the Lifestyle strategy does not perform better than the aggressive BPFA strategy, the same as the paper discussed above. However, it does have smaller variances than BPFA. The other two conservative portfolio insurance strategies we consider are also shown to offer better protection in Reverse scenarios.
As for sensitivity tests, we can conclude that higher contribution rates offer significantly better protection for participants. Retirement age also has a direct influence on fund cumulations. The effect of increasing the contribution rate is greater than an increase in the retirement age. However, changes in the real growth rate of wages do not affect the funding ratios significantly.
After modeling several scenarios, we then apply our model to Taiwan’s current pension scheme. The asset allocation of Taiwan’s pension fund is similar to the TPFA strategy. Our simulation results of the TPFA strategy indicate that state pension funds in Taiwan may be insufficiently funded. Loosening investment regulations governing pension funds should be considered. Transferring funds to a new scheme which provides lower protection and higher portability is another possible solution.
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