| 英文摘要 |
The Public Service Pension Fund (PSPF) has entered a stage of cash in- and
out-flow imbalances. Due to demographic changes, its cash outflow
significantly increases recently, while its cash inflow grows very slowly, which
leads to significant budget imbalances. In the short- to medium-term, improving
investment performances and managerial efficiencies are likely a viable solution.
In this research project, we review related literature in order to analyze the
policies undertaken by other countries when they previously faced similar
problems. We also explore the investment strategies of other public pension
funds. We then use historical market data to simulate asset allocations based on
the mean-variance analysis, with reasonable assumptions. We derive the
theoretical optimal investment proportions for each asset class in the simulated
portfolio and compare its performance with that of the PSPF. The empirical
results suggest that investment performances can be improved, with the risk
remaining at the same level of that of the PSPF. Through in-depth interviews
with relevant scholars and experts, we are also able to understand the current
problems of the PSPF and then propose the feasible short- to medium-term
policies. Finally, we conclude the research project with several constructive
suggestions regarding the investment strategies of the PSPF. |