本文以隨機動態規劃探討確定給付制退休基金的最適資產配置決策，並以台灣公務人員退撫基金維模擬對象，說明模型中各項條件變動對於最適資產配置的影響。模擬之主要結論有：(一)高風險資產投資報酬率大於一定水準時，最適資產配置會隨著報酬率增加而趨於保守，(二)高風險資產的風險越高會使的其配置比例在長期趨於保守，(三)資產報酬的相關係數與資產配置之間的關係不明確，(四)攤提期數愈短，最適資產配置會愈保守，(五)基金積儲率愈低，最適資產配置會愈積極，(六)愈重視短期風險，初期投資決策會愈保守，(七)目標積儲率愈高，最適資產配置會愈積極

We analyze the financial risk in a defined benefit pension scheme, applying dynamic programming to find optimal asset allocations for the scheme. Taiwan public employees retirement system is studied for illustration. The simulations show the impacts of parameters to the optimal asset allocations. The following are the main results. 1. Above a return level, the higher is return on a high-risk asset, the more conservative is the asset allocation. 2. The higher is risk on the high-risk asset, the more conservative is the asset allocation in the long run. 3. The relationship between correlation and the asset allocation is not clear. 4. The shorter is the amortization period, the more conservative is the asset allocation. 5. The lower is the fund ratio, the more aggressive is the asset allocation. 6. The more important is the short-term risk, the more conservative is the asset allocation in the short run. 7. The higher is the target fund ratio, the more aggressive is the asset allocation.