本文利用效率前緣法來進行實際資料的模擬，嘗試求出退休基金最適的資產配置 ，並檢討國內勞退基金的運用是否具有效率性。本文的模擬結果顯示，即使在保的要求下， 定期存款對退休基金而言，並非一合適之投資標的，貸款及不動產等中長期資產才是適合退 休基金投資之金融工具，理想的股票投資比例，在保本的要求下，其投資比例則不宜超過 10% 。 在檢討過去退休基金之實際投資績效時，發現其與模擬之投資組合有一段差距，探究其原因 ，發現主要的原因在於其金融工具不足及資產配置之不適當，故本文的最後乃依模擬之結果 ，建議政府在短期內應放寬法令限制，開放金融工具，重新調整其資產配置。長期而言，政 府則應調整其投資態度及其投資策略，選擇較積極之投資組合，才能使退休基金之資產配置 與長期資金之特色相符合，更有效地提高其投資績效。

　　　　　To have a better understanding on the investment efficiency of pension funds, this paper use simulation method to simulate the optimal asset allocations and the efficient portfolios with real data of Taiwan. Our simulation shows that loans and real estates are the best investment instruments for pension funds. They, characterized by long maturity, have higher returns and lower risks and are especially suitable for pension funds. In contrast, time-deposits is not a good investment instrument for pension funds due to its low returns and short maturity. Contrary to the viewpoints of previous studies, our results show that stocks' performance is not outstanding as expected and should not be included as an important instrument and suggest the proportion of stock should not greater than ten percent of total assets before risk aversion of fund management can be changed. Our results also show that the performance of pension fund is poor during the past ten years. In order to improve the performance of investement, we suggest the restrictions on investments of pension fund should be lifted and the portfolio of fund should be adjusted.