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.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0630108-201154 |
| Date | 30 June 2008 |
| Creators | Chen, Po-tai |
| Contributors | Yih Jeng, Hsioujen Kuo, Jen-Jsung Huang |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | Cholon |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0630108-201154 |
| Rights | off_campus_withheld, Copyright information available at source archive |
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