退撫基金之投資行為及其委外經營政策之研究：投資組合調整修正模式之驗證

The Civil Service Pension Fund Investment Behavior-Portfolio Revision Model

10.30003/JRM.200611.0002

黃介良(Chai-Liang Huang)；李翎竹(Ling-Chu Lee)

退休基金 ； 風險態度 ； 投資行為 ； 投資組合調整修正模型 ； pension fund ； risk aversion ； investment behavior ； portfolio reversion

風險管理學報

8卷3期（2006 / 11 / 01）

233 - 262

繁體中文

為突破傳統均異模型長期靜態均衡分析的限制，本文設計投資組合調整修正模式且採用彈性效用函數來發展建立預期效用最大且具動態調整的理論與實證模型，並採用實際資料來驗證退撫基金投資組合長期的均衡狀態及短期的投資調整過程。為能凸顯委外經營對退撫基金投資行為的影響，本文以共同基金為比較之對象，進行基金投資行為的實證研究。本文的實證結果發現，退撫基金可能是交易成本、法規限制與政策限制的影響，長期與短期應有的投資調整均不符合基金預期效用最大之原則；共同基金的長期風險態度雖不明顯，但短期應有的投資調整方向較符合投資人的利益，顯示出委外經營的管理政策應是可行的方向。

In order to describe the investment strategies and risk aversion of pension fund, the expected utility maximization models with portfolio reversion are developed and tested in this paper. The empirical results show that both the long-term risk attitudes of the Civil Service Pension Fund and mutual funds are insignificant. While mutual funds' short-term investment behaviors are consistent with the wealth maximization, Civil Service Pension Fund's are not. The investment strategies and investment behaviors of Civil Service Pension Fund have been changed by the interventions of government.

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