公務人員退撫基金雖非一般企業，但這並不表示公務人員退撫基金可以不必對「資金提供者」負責或懈怠獲致「應有報酬」之責任；公務人員退撫基金為執行特定公共任務之組織，其能否發揮制度設計所預期的功能，將直接影響公務人員退撫基金的營運績效。本研究之主要目的為探討治理變數對基金績效的影響效果。實證結果發現監理委員會的組成結構中，唯有軍公教、學者專家的係數估計值顯著異於零，其他的治理變數對基金績效的影響皆不具有顯著影響效果，另外，股價指數與資產配置對於基金績效存在顯著的作用，股價指數以及資產配置在銀行存款與短期票券，具有正的影響效果，至於配置在有價證券，可能由於受到政治的干預護盤以及對於股票市場的投資監督不佳，所以造成其負向影響效果。 由於治理變數大多對基金績效無顯著影響效果，可能肇因於退撫基金無健全的課責制度，可以考慮減少政府機關代表的數量與其角色，考量委員的代表性與專業性。此外，股市投資為影響報酬與風險最為顯著的投資工具，股價指數與有價證券的資產配置皆對基金績效有顯著的影響效果，對於股票市場的投資需要更加的小心。由於退撫基金由政府管理，欠缺彈性，其投資運用易受到官僚體系與政治因素的影響，未來退撫基金也可以朝行政法人組織來做改革。隨著基金累積金額的日漸龐大，監理委員會功能的發揮與否，與投資運用績效息息相關，將攸關未來退休者的給付與參與者的費率，如何有效發揮監理委員會的功能，是值得關注的議題。

<p>Pension fund companies manage and invest large amounts of money on behalf of their members. In return for their contributions, members expect a benefit at termination of their contract. Due to the volatile nature of returns that pension funds attain, pension companies started attaching a minimum guaranteed amount to member&rsquo / s benefits. In this mini-thesis we look at the pioneering work of Brennan and Schwartz [10] for pricing these minimum guarantees. The model they developed prices these minimum guarantees using option pricing theory. We also look at the model proposed by Deelstra et al. which prices minimum guarantees in a stochastic financial setting. We conclude this mini-thesis with new contributions where we look at simple alternative ways of pricing minimum guarantees. We conclude this mini-thesis with an approach, related to the work of Brennan and Schwartz [10], whereby the member&rsquo / s benefit is maximised for a given minimum guaranteed amount, which comprises of multi-period guarantees. We formulate a method to find the optimal stream of these multi-period guarantees.</p>

Thesis (LLM.) -- University of Limpopo, 2017 / This dissertation deals with the inception of the office of the Pension Fund Adjudicator in South Africa with comparison with the United Kingdom and Australia. The challenges faced by the office of the Pension Fund Adjudicator are one element that advised the composition of this dissertation. South Africa is a well developing country that carries well developed laws, including, the laws that deals with the pension fund complaints and this dissertation shall analyse and unpack those laws and principles that deals with the pension fund complaints.

<p>In 2000, more then 4 million Swedish citizens were given the responsibility to invest a part of their earned money in the new premium pension system. With limited knowledge in financial markets was it now up to the people themselves to decide how to invest. Due to the citizens lack of knowledge lead them to a passive behavior. This meant a new role for the financial institutions and the advising that followed. Since the start, there has been constant debates on how well the system has been working and who it has been beneficial to.With the new role of the pension advisors the problem question was stated as: considering the customers’ knowledge and understanding of the financial factors, how has the advising of premium pension funds evolved since 2000? With the sub question: what role will the future of pension funds advising have?The aim of the study is to research how the knowledge among the Swedish public has changed, how the perception of risk has altered, how the trust and confidence among financial advisors have changed, what importance new laws and regulations have had, and how the relations between customer and advisors has developed with the uneven knowledge. The future of pension advising will be investigated.This study has a qualitative approach with seven semi-structured interviews with different institutions that are related to pension saving. Due to the nature of the study a hermeneutic approach and abductive perspective is obliged.The respondents have observed the level of knowledge among the public to be low, however has it gotten better. The laws and licenses implemented has changed how pension advisors are working, and increased the confidence for advisors. For the future, a majority of the advisors are calling for the government to take the responsibility on educating the public in private economy. This would, according to the respondents, simplify the advisors job. The insufficient level of knowledge has created both problems and opportunities for advisors. The trouble with a product/service such as advising its complexity, which makes it hard for the institutions to explain, and for the customers to understand it. Therefore, the authors agree with the respondents, to educate the Swedish citizens in order for them to understand the opportunity that is in front of them.</p>

In 2000, more then 4 million Swedish citizens were given the responsibility to invest a part of their earned money in the new premium pension system. With limited knowledge in financial markets was it now up to the people themselves to decide how to invest. Due to the citizens lack of knowledge lead them to a passive behavior. This meant a new role for the financial institutions and the advising that followed. Since the start, there has been constant debates on how well the system has been working and who it has been beneficial to.With the new role of the pension advisors the problem question was stated as: considering the customers’ knowledge and understanding of the financial factors, how has the advising of premium pension funds evolved since 2000? With the sub question: what role will the future of pension funds advising have?The aim of the study is to research how the knowledge among the Swedish public has changed, how the perception of risk has altered, how the trust and confidence among financial advisors have changed, what importance new laws and regulations have had, and how the relations between customer and advisors has developed with the uneven knowledge. The future of pension advising will be investigated.This study has a qualitative approach with seven semi-structured interviews with different institutions that are related to pension saving. Due to the nature of the study a hermeneutic approach and abductive perspective is obliged.The respondents have observed the level of knowledge among the public to be low, however has it gotten better. The laws and licenses implemented has changed how pension advisors are working, and increased the confidence for advisors. For the future, a majority of the advisors are calling for the government to take the responsibility on educating the public in private economy. This would, according to the respondents, simplify the advisors job. The insufficient level of knowledge has created both problems and opportunities for advisors. The trouble with a product/service such as advising its complexity, which makes it hard for the institutions to explain, and for the customers to understand it. Therefore, the authors agree with the respondents, to educate the Swedish citizens in order for them to understand the opportunity that is in front of them.

『勞工退休金條例』於民國94年7月1日施行後，我國的勞工退休金經營管理模式有了根本上的變化。原來舊的制度下，退休金是以確定給付的方式經營，而在新制下則是以確定提撥的模式營運。新制由於不必考慮負債面，其資產配置的自由度相對來說大幅提高。然而，為了滿足法規『投資報酬率不得低於兩年期定存利率』之限制、以及達成高所得替代率的理想，退休基金的管理者將面臨追求短期穩定、以及長期高報酬兩項互為抵換目標的困難抉擇。 如何用一套較為實務上可行的方法，為新制下的退休基金擬定一套合乎其投資目標的長期策略性資產配置，是本研究所關心的課題。本文採用的方法是以多元蒙地卡羅模擬法（Monte Carlo Simulation），依據實際的資本市場假設來模擬整個投資組合期望報酬率的機率分配，並根據結果分析各種配置的優劣、提供決策者做參考。 本研究建議新制下退休基金的理想資產配置區間為：美國股票30%~40%、國際股票20%~30%、固定收益證券20%~30%、不動產5%~15%、以及私募股權0%~10%。其中，由於退休基金在成立前期的流動性需求較低，可以配置較高的比重於股票和不動產；後期則為了定期支付退休金、可以提高固定收益證券的比重。然而，本研究發現：『提高固定收益證券比重所帶來的短期穩定之加分、將不如其所犧牲的長期高報酬之減分』，因此不建議退休基金的管理人太早提高固定收益證券的投資比重。 此外，透過情境分析與敏感性分析，本研究認為長期而言，不動產是最為穩定、且又能同時達成長期高報酬目標的最佳投資標的。至於在戰略性配置上，如果基金管理者預期未來市場可能會出現長期動盪，則應該降低私募股權的比重。

<p>Pension fund companies manage and invest large amounts of money on behalf of their members. In return for their contributions, members expect a benefit at termination of their contract. Due to the volatile nature of returns that pension funds attain, pension companies started attaching a minimum guaranteed amount to member&rsquo / s benefits. In this mini-thesis we look at the pioneering work of Brennan and Schwartz [10] for pricing these minimum guarantees. The model they developed prices these minimum guarantees using option pricing theory. We also look at the model proposed by Deelstra et al. which prices minimum guarantees in a stochastic financial setting. We conclude this mini-thesis with new contributions where we look at simple alternative ways of pricing minimum guarantees. We conclude this mini-thesis with an approach, related to the work of Brennan and Schwartz [10], whereby the member&rsquo / s benefit is maximised for a given minimum guaranteed amount, which comprises of multi-period guarantees. We formulate a method to find the optimal stream of these multi-period guarantees.</p>

[pt] O presente trabalho objetiva identificar de que forma os fundos de pensão podem se tornar instrumentos financeiros essenciais ao financiamento da economia brasileira, levando-se em consideração o acentuado desenvolvimento e internacionalização dos mercados mundiais. Para isso, faz- se necessário avaliar seu desempenho nos mercados de capitais, bem como de que forma podem se tornar eficientes, através da otimização de sua estratégia de risco. Nesse sentido, fez-se uso de diversos modelos conhecidos na teoria de finanças, como o Modelo de Markowitz, o modelo do Índice Único de Sharpe, modelo CAPM, e as técnicas para a determinação de fronteiras eficientes de Elton e Gruber, bem como das diversas medidas de desempenho de nvestimentos existentes como: taxa de retorno ponderado pelo tempo, desvio padrão, coeficiente beta, Índice de Sharpe, Índice de Modigliani,Índice de Jensen, Índice de Treynor, Apprasial Ratio e Índice de Modigliani, para que se pudesse analisar e comparar o resultado dos 20 maiores fundos de pensão existentes no Brasil. / [en] The present objective work intend to identify the forms that the pension funds can become financial instruments essential to financing the Brazilian economy, taking in consideration the accented development and internationalization of the world-wide markets. For this one becomes necessary to evaluate its performance in the stock markets, as well as of that it forms can become efficient, through the optimization of its risk strategy. In this direction, use of diverse models known in the theory of finances became, as the Markowitz s Model, the Sharpe s Single Index Model, the Capital Asset Pricing Model - CAPM, and the techniques for the determination the efficient borders of Elton and Gruber, as well as of the diverse measures of performance of existing investments as: Return tax, standard deviation, beta coefficient, Sharpe s Index, Modigliani s Index, Jensen s Index, Treynor s Index, Appraisal Ratio and Modigliani s Index, so that if it could analyze and compare the result of the 20 existing greater pension funds in Brazil.

Magister Scientiae - MSc / Pension fund companies manage and invest large amounts of money on behalf of their members. In return for their contributions, members expect a benefit at termination of their contract. Due to the volatile nature of returns that pension funds attain, pension companies started attaching a minimum guaranteed amount to member&rsquo;s benefits. In this mini-thesis we look at the pioneering work of Brennan and Schwartz [10] for pricing these minimum guarantees. The model they developed prices these minimum guarantees using option pricing theory. We also look at the model proposed by Deelstra et al. which prices minimum guarantees in a stochastic financial setting. We conclude this mini-thesis with new contributions where we look at simple alternative ways of pricing minimum guarantees. We conclude this mini-thesis with an approach, related to the work of Brennan and Schwartz [10], whereby the member&rsquo;s benefit is maximised for a given minimum guaranteed amount, which comprises of multi-period guarantees. We formulate a method to find the optimal stream of these multi-period guarantees. / South Africa

>Magister Scientiae - MSc / Pensions are essentially the only source of income for many retired workers. It is thus critical that the pension fund manager chooses the right type of plan for his/her workers.Every pension scheme follows its own set of rules when calculating the benefits of the fund’s members at retirement. Whichever plan the manager chooses for the members,he/she will have to invest their contributions in the financial market. The manager is therefore faced with the daunting task of selecting the most appropriate investment strat-egy as to maximize the returns from the financial assets. Due to the volatile nature of stock markets, some pension companies have attached minimum guarantees to pension contracts. These guarantees come at a price, but ensure that the member does not suffer a loss due to poorly performing equities.In this thesis we study four types of mathematical problems in pension fund management,of which three are essentially optimization problems. Firstly, following Blake [5], we show in a discrete time setting how to decompose a pension benefit into a combination of Euro-pean options. We also model the pension plan preferences of workers, sponsors and fund managers. We make a number of contributions additional to the paper by Blake [5]. In particular, we contribute graphic illustrations of the expected values of the pension fund assets, liabilities and the actuarial surplus processes. In more detail than in the original source, we derive the variance of the assets of a defined benefit pension plan. Secondly,we dedicate Chapter 6 to the problem of minimizing the cost of a minimum guarantee included in defined contribution (DC) pension contracts. Here we work in discrete time and consider multi-period guarantees similar to those in Hipp [25]. This entire chapter is original work. Using a standard optimization method, we propose a strategy that cal- culates an optimal sequence of guarantees that minimizes the sum of the squares of the present value of the total price of the guarantee. Graphic illustrations are included to in-dicate the minimum value and corresponding optimal sequence of guarantees. Thirdly, we derive an optimal investment strategy for a defined contribution fund with three financial assets in the presence of a minimum guarantee. We work in a continuous time setting and in particular contribute simulations of the dynamics of the short interest rate process and the assets in the financial market of Deelstra et al. [19]. We also derive an optimal investment strategy of the surplus process introduced in Deelstra et al. [19]. The results regarding the surplus are then converted to consider the actual investment portfolio per- taining to the wealth of the fund. We note that the aforementioned paper does not use optimal control theory. In order to illustrate the method of stochastic optimal control, we study a fourth problem by including a discussion of the paper by Devolder et al. [21] in Chapter 3. We enhance the work in the latter paper by including some simulations. The specific portfolio management strategies are applicable to banking as well (and is being pursued independently).