確定提撥率對勞工最適資產配置之影響

The Impact of Defined Contribution Rate on Labor's Optimal Asset Allocation

確定提撥計劃已成為世界上重要的退休計畫之一，在此計劃下，勞工可以彈性調整退休金提撥率以極大化其個人效用。本文以跨期離散資產配置模型探討不同狀態下，勞工之最適資產配置，並依不同勞動所得與提撥率之狀態設定，探討風險性資產投資比重之變化。本文主要得到四個結論：1.勞動所得變異增加會提高勞工儲蓄意願，進而降低風險性資產投資比重。2. 勞動所得與非預期風險性資產報酬相關性愈高，勞工傾向降低風險性資產。3. 提撥率與非預期風險性資產報酬相關性愈高，勞工傾向增加風險性資產以分散投資風險；4. 愈容易失業的勞工，其資產配置愈趨保守。

Defined contribution pension plan has become an important pension plan around the world. Under this pension plan, labors can adjust flexibly the contribution rate to maximize the utility function. We present an intertemporal asset allocation model for Defined contribution pension varied with stochastic labor income and different contribution rate. According to the observations, we use three states in analyzing the optimal risky asset allocation by the different labor income and the contribution rate. We reach four conclusions in our study. First, increasing idiosyncratic labor income risk raises investors’ willingness to save and reduce their stock portfolio allocation. Second, positive correlation between labor income and stock returns has a further negative effect and can actually reduce stockholdings. Third, increasing the correlation between contribution rate and stock returns has a further positive effect, labors can actually increase risky asset. Finally, the labors with high risk of unemployment tend to be more conservative in their asset allocation.