最大機率法下個人退休金專戶基金之投資運用分析

「個人退休金專戶」基金之投資運用，應在長期收益性的前提下來慮及安全性，並隨制度的趨於成熟來強化安全性及流動性。在此投資原則下，本文採用Williams(1997)的最大機率法來模擬可能的較適資產配置，建議基金得投資股票的上限不宜過低，以追求長期性的較高收益，同時並應提高海外資本市場的可投資上限，以分散國內股市風險過高的缺失；其次，加強國內長期債券市場的發展，以提供退休基金長期穩定的投資工具；再者，短期流動性資產的部份不宜太偏重於銀行存款，以避免基金承受過高的利率變動及通貨膨脹風險。
關鍵字：退休金、退休基金
Analyzing the Asset Allocation of Employees’ Individual Pension Account Based on Probability Maximization Approach
Abstract
The asset allocation of employees’ individual pension account should seek long-term profitability under the security requirement, and emphasize security as well as liquidity as the approach of the fund’s maturity. According to these principles, this article is based on the probability maximization approach and suggests the upper limit of stocks investment should not be too strict for seeking the fund’s long term return. At the same time, lifting the upper limit of foreign stocks investment is necessary to diversify the domestic market volatility. Besides, strengthening the development of domestic long-term bond market is also required to offer the pension fund with long-term stable investment instruments. At last, the liquidity assets should incorporate some profitable short-term instruments instead of concentrating on deposit to avoid the interest and inflation risks.
Keywords: pension, pension fund