A Study on the Asset Allocation of Taiwan Labor Insurance Fund

• Main Authors: Shang-Yi Weng, 翁尚怡
• Other Authors: Ding-Yuan Chen
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/40967268776309180304

碩士 === 淡江大學 === 保險學系保險經營碩士班 === 99 === 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.