| Summary: | 碩士 === 逢甲大學 === 風險管理與保險研究所 === 99 === In Taiwan, the pension assets’ returns of the labor retirement accounts are guaranteed by the government with the minimum annual rate of return equal to the two-year time deposit rate. Generally this two-year interest rate is low. And, if the investment policy is conservative, then it will be expected that this pension scheme might not provide much resource for labor retirement incomes. If the investment policy is free to choose, it will be interesting to know how the investment policy affects the performance of pension assets. This study analyzes the return and risk of two different investment policies, active and conservative policies by using the Monte Carlo Simulation.
The results show the rates of return under both policies are stable over the periods of investment. However, the investment risk which is measured by the standard deviation of the rates of return decreases with the periods of investment. Comparing with one-year investment, the risk is reduced by half for a five-year investment period, 68% reduction for 10 years, 78% reduction for 20 years, and 84% reduction for 40 years. Thus, there exists time diversification effect. The active investment policy which is a high risk policy, in fact, is not so risky in the long run. Still, the active policy is more risky the conservative policy. Though the return and risk are important in choosing the investment policy, in reality, the investors need to consider other important factors, such as the terminal value of the pension account, risk tolerance and life expectancy.
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