本文討論臺灣退休基金之資產分配策略。研究方法主要為各國退休基金資產分配 現況分析與模擬不同資產分配策略所伴隨之風險與報償。主要結論有：（一）勞退基金與退 撫基金最近之資產分配已漸趨積極，但與其他國家相比，臺灣退休基金投資股票市場明顯偏 低。（二）各國退休基金投資國外股市與國內股市平均為1:2。債券投資則以國內為主。一 般而言,股市規模愈小、股市波動性愈大的國家，其退休基金投資於國外股市之比例愈高以 分散風險。（三）投資組合模擬結果顯示，短期波動性愈高的投資組合，其長期報酬率愈高 。（四）投資國外市場，有分散風險的好處。（五）拉長投資期間可使報酬變動性明顯降低 ，亦使投資組合報酬率低於保證收益率之機會降低。例如非常積極的投資組合（股票80%， 債券20%）在13個月三年投資期間中，僅有兩個期間其報酬率低於二年期定存利率。（六） 如以一年為投資期間，即使十分保守的投資組合，其年報酬率低於二年期定存之機率仍然很 高。（七）以臺灣退休基金近年內現金流入遠大於現金流出，英、美等國積極的資產分配組 合應是臺灣仿效的對象。

　　　　　This paper explores potential asset allocation strategies for pension funds in Taiwan.Comparing to their international counterparts, Taiwan's pension funds invest much less of their assets in stocks.Furthermore, they have no foreign investment currently.Simulations of different asset allocation strategies show that a profolio with high shortterm volatility also has high long-term average return, and vice versa.Due to the high volatility of the Taiwan stock market, a very conservative portfolio, For example, 10% stock holding ratio, still exhibits high risk of annual portfolio returns falling below the government graranteed 2-year CD interest rate.However, increase the investment horizon lowers down the guarantee risk substantially. According to our results, we suggest that Taiwan's pension funds should adopt more aggressive asset allocation strategies to raise mean portfolio returns, as well as invest internationally to diversify risks.