臺灣博碩士論文加值系統

台灣在長壽風險的威脅與退休金所得替代率偏低的情況下，提早為退休作規劃是一般大眾的共通想法，然而市面上流通許多退休規劃的相關產品，一般投資者並沒有足夠的時間與理財知識為自己挑選適合的退休商品以及為退休生活作規劃。針對這樣的投資者，生命週期基金是極佳的投資標的，但是市面上的相關商品都是針對國外投資者設計，並沒有為台灣投資者量身打造的生命週期基金，本研究將設計適合台灣投資者的生命週期基金。
本研究運用以年齡為基礎資產配置法，搭配本研究所設計的國際資產配置法形成生命週期的投資組合，在考慮年紀時同時也考慮到國際資產配置，接著利用簡單問卷調查分析投資者之投資風險屬性，分別有投資工具偏好(區分股債配置投資風險偏好)與投資區域偏好(區分國際資產配置風險偏好)；根據所分析結果，套用本模型即可得出生命週期資產配置。
實證部分本研究主要分成三大模型討論，分別為投資四資產、投資多資產以及為美國投資者設計的生命週期基金，探討各類型在不同年紀、不同的風險參數、不同預期退休年紀與外生要素影響下投資績效。預測結果與歷史回測顯示在不同條件下，本模型能有效的控制風險，而且也能適用不同國家，除了可以成為投資者進行退休規劃時參考依據外，更可適用於所有跨國投資需求的投資人，使其能獲得穩健之資產配置；未來更期待本模型可以成為投資人衡量生命週期基金績效的比較基準。

With the longevity risk of human being and the low income replacement ratio (IRR), people start to plan their retirement early. Even though there are many new designed products for retirement demand on the market, but actually the investors have no enough time and financial knowledge to select the proper retirement products for themselves, and to plan their future retirement life. Therefore, this study aims at designing the “Life Cycle Fund” for those Taiwan investors.
This study mainly bases on the method of asset allocation using “Age” basis and the method of international asset allocation to construct the life cycle portfolio. We consider both conditions of “age” and “international asset allocation” in this study. We use simple questionnaire investigation in two dimensions, the preference of investment instrument (to tell the risk preference of stocks or bonds) and the preference of investment region (to tell the risk preference of international asset allocation), to analyze the investors risk acceptance level. At the end, construct the life cycle portfolio by applying our model and the result of questionnaire investigation.
We divided the empirical study into three parts, which are respectively the investment in four assets, the investment in multi-assets and the life cycle fund for American investors, to explore the portfolio performance under different risk parameters and different retirement ages. Consequently, from the result of forecasting and history back-testing, our model not only can control the risk properly, but also can be applied to different countries. This model can help the investors in planning for their retirement, and help investors who have the investment demand in multilnational countries to reach stable asset allocation. We expected this model can be a comparing benchmark for investors to measure the performance of life cycle fund.

第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 3
第三節 生命週期基金簡介與市場現況 3
第四節 研究架構與方法 6
第二章 文獻回顧 7
第一節 生命週期基金理論基礎回顧 7
第二節 各國退休基金資產配置 8
第三節 生命週期基金資產配置 10
第四節 小結 11
第三章 資料與研究方法 12
第一節 資料說明 12
第二節 研究方法 14
第三節 小結 20
第四章 實證結果與比較分析 21
第一節 四資產預期結果與歷史回測 21
第二節 多資產歷史回測結果與分析 36
第三節 為美國投資者設計的生命週期基金 43
第五章 結論與建議 50
第一節 研究結論 50
第二節 研究建議 52
參考文獻 53

中文部分(依姓氏筆畫排序)
1.王儷玲 (2002)，「從退休金制度之適足度談退休財務規劃」，退休基金年刊，頁25-37。
2.王儷玲，楊曉文，黃泓智 (2006)，「勞退新制下個人帳戶制與年金保險制之所得替代率分析」，台灣勞動法學會學報，第五期，頁175-220。
3.朱延明 (2001)，「台灣退休基金國際資產配置程序之研究」，國立台灣大學財務金融研究所碩士論文。
4.林詩茵 (2005)，「退休給付：運用年齡為基礎之資產配置法」，國立中興大學財務金融研究所碩士論文。
5.張勝忠 (2002)，「台灣退休金制度與年金保險之金錢價值與所得替代率探討」，國立政治大學風險管理與保險系碩士論文。
6.黃介良 (1999)，「台灣退休基金資產配置之研究」，證券市場發展季刊，第十卷第三期。

英文部分(依字母排序)
1.Bodie,Zvi, R.C. Merton, and W. Samuelson (1992), “Labor Supply Flexibility and Portfolio Choice in a Lifecycle Model.” Journal of Economic Dynamics and Control, Vol.16, nos. 3/4 (July-October): 427-449.
2.Bodie, Zvi, and Dwight B. Crane (1997), “Personal Investing: Advice, Theory, and Evidence.” Financial Analysts Journal, Vol.53, No.6 (November/December): 13-23.
3.Bodie,Zvi (2003), “Thoughts on the Future: Life Cycle Investing in Theory and Practice.” Financial Analysts Journal, Vol.59, No.1: 24-29.
4.Bodie, Zvi, and Treussard Jonathan and Paul Willen (2007), “The Theory of Life Cycle Saving and Investing,” Public Policy Discussion Paper of Federal Reserve Bank of Boston, No.07-3. http://www.bos.frb.org/economic/ppdp/2007/ppdp0703.htm
5.Bodie, Zvi, and Treussard Jonathan (2007), “Making Investment Choices as Simple as Possible :An Analysis of Target Date Retirement Funds .” Boston University Working Paper. http://ssrn.com/abstract=900005。
6.Cocco, Joao, Francisco Gomes, and Pascal Maenhout (2005), “Consumption and Portfolio Choice over the Life Cycle,” Review of Financial Studies, Vol.18, No.2: 491-533.
7.Gollier Christian, (2001), The Economics of Risk and Time (Cambridge: MIT Press).
8.Gollier, Christian and Richard J. Zeckhauser (2002), “Horizon Length and Portfolio Risk,” Journal of Risk and Uncertainty, Vol.24: 195-212.
9.Olivia, S. Mitchell, John Piggott, Michael Sherris, and Shaun Yow (2006), “Financial Innovation for An Aging World,” NBER Working Paper No. 12444.
10.Davis, E. Philip (2002), “Pension Fund Management and International Investment A Global Perspective,” The PENSIONS INSTITUTE (discussion paper PI-0206). http://www.pensions-institute.org/papers.html。
11.James, Poterba, Joshua Rauh, Steven Venti, and David Wise (2006), “Lifecycle Asset Allocation Strategies and the Distribution of 401(K) Retirement Wealth,” NBER Working Paper No. 11974.
12.Samuelson, Paul A. (1989), “A Case at Last for Age-Phased Reduction in Equity,” Proceedings of the National Academy of Science, Vol.86: 9048-51.