台灣退休基金國際資產配置程序之研究
Date Issued
2000
Date
2000
Author(s)
DOI
892416H002053
Abstract
This paper intends to develop an international asset allocation algorithm for pension funds in
Taiwan. The methodology of the research is to simulate the efficient frontier of domestic and
foreign investment instruments, considering the exchange and inflation rates risk. It analyzes
the impact of different restrictions imposed by regulations toward funds’ foreign investments, and
develops an optimal asset allocation strategy for pension fund sponsors in Taiwan. Compared
with international counterparts, Taiwan’s pension funds invest much less assets in foreign
investment instruments. While most developed countries’ pension funds invest over one-third
of their assets in foreign instruments, pension funds sponsors in Taiwan seem to be relatively
conservative. The results indicate that foreign stocks are appropriate investing targets which
can well diversify the portfolio risks even when the exchange and inflation rates factors are
considered. However, once restrictions toward foreign investments are imposed, the efficient
frontier will move downward significantly. In addition, after taking consideration of the risk
and return characteristics of all the investment instruments, the results show that North America
and Europe’s stock markets are the best foreign targets for Taiwan’s pension funds to invest in.
Subjects
International Asset Allocation
Pension Funds
Taiwan
Publisher
臺北市：國立臺灣大學財務金融學系暨研究所
Type
report
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