邱顯比2006-07-262018-07-092006-07-262018-07-092000http://ntur.lib.ntu.edu.tw//handle/246246/16250本研究擬發展一套台灣退休基金適用的國際資產配置程序。研究方法主要為 利用國內、外各投資工具考慮匯率及通貨膨脹因素後之實質報酬率進行效率前緣 的求算，並分析在各種限制條件下對效率前緣所造成的影響，進而適擬出最適合 台灣退休基金管理者所採用之資產配置策略。主要結論有：（一）國內退休基金 之資產配置與其他國家相比，投資於國際投資工具之比率明顯偏低。若與先進國 家平均三分之一以上之資產投資在國外股市相較，台灣退休基金益形保守。（二） 模擬的結果中，即使在考慮匯率與通貨膨脹因素後，國外股市仍是極佳的風險分 散工具。一旦在投資政策中列入國外資產的限制，將使得投資組合之效率前緣明 顯下移。（三）在考量各投資工具之報酬與風險特性後，除了台灣股市與七年期 公債外，北美與歐洲股市是最適宜台灣退休基金投資之海外標的。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.application/pdf162848 bytesapplication/pdfzh-TW國立臺灣大學財務金融學系暨研究所國際資產分配退休基金台灣International Asset AllocationPension FundsTaiwanreporthttp://ntur.lib.ntu.edu.tw/bitstream/246246/16250/1/892416H002053.pdf