To establish the pension system is to ensure the life of old men. To compare the other pension systems of main countries, the old-aged economics security should adopt three-pillar system in Taiwan.
This thesis puts emphasis on the empirical study of the importance of Taiwan pension fund asset allocation and attempts to develop a proper process of asset allocation decision as the reference of the pension fund sponsors when they are dealing with this task.
The process of asset allocation decision could be divided into two parts: forming the efficient frontier and selecting the optimal asset allocation. This research suggests the readers to use quadratic programming techniques, which is introduced by Markowitz in 1956, to calculate the efficient frontier. With the changes in the financial situation and the coming of new information, pension fund sponsors should re-perform the process of asset allocation decision periodically to obtain the updated optimal asset allocation.
The result of putting restrictions on the ratio of investment items is that the limited portfolio will reduce the utility and return relatively. As for raising the ratio of current assets, the standard doesn¡¦t increase obviously. To impress that pension fund should be in accordance with its need and object to keep appropriate current assets. Furthermore, pension fund sponsors should raise the weight of stocks and bonds to improve the performance.
Pension fund sponsors who entrust risky assets to the professional institutions to manage will enhance the performance of investing, but we can¡¦t obtain the data of risk. In the future, the performance should be measured continually and join the risk to analyze.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0612102-160202 |
| Date | 12 June 2002 |
| Creators | Chen, Hung-Ching |
| Contributors | none, none, Yueh H. Chen, Joseph Lyu |
| 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-0612102-160202 |
| Rights | unrestricted, Copyright information available at source archive |
Page generated in 0.0037 seconds