Structured R.O.C. Government Bond Portfolios in Pension Fund Management: The Case of the Bonus Payment at Chinese Festivals for the Retires

本文研究退休基金常構建之保守型結構性公債組合，總共探討三種結構性組合：(1)考慮資金受限之保證現金流入量組合、(2)考慮再投資之保證現金流入量組合、(3)純粹免疫策略組合。針對這三種組合，本文各提一線性規劃模型，以發放退休老人年節獎金之問題為例子，分別構建最低成本之組合。我們發現：免疫組合的起始成本在假定高利率之下較低，但因為再平衡成本與潛在獲利性孰高不定，故總成本未必低於其他二組合。再者，免疫組合無論假定之利率是否等於未來實際之利率，都可能有無法及時足額償債之風險，而其他二組合大多可規避此風險。至於組合之組成債券，免疫組合與利率及還債排程型態無關，但其他二組合則有關。This paper investigates structured bond portfolios in pension fund management. We use R.O.C. government bonds to construct three structured bond portfolios: (1) a dedicated portfolio with limited funds, (2) a dedicated portfolio considering idle cash reinvestment, (3) a purely immunized portfolio. This paper proposes Linear Programming models for each portfolio and applies these models to an example, which concerns the bonus payment at Chinese festivals for the retires, to serve for illustrative purpose. We find that the initial cost of the purely immunized portfolio is lower than those of the other two portfolios when the assuming interest rate is high. Since whether the rebalancing cost is lower than the potential gain from rebalancing immunized portfolio is uncertain, the total cost of a purely immunized portfolio many not be lower than the other two portfolios. Moreover, a purely immunized portfolio always has the risk that the portfolio does not satisfy the liability schedule regardless of whether the assuming interest rate is equal to the future actual interest rate. In contrast, this risk for the other two portfolios can be fully avoided. Finally, member bonds of the purely immunized portfolio are not affected by the assuming interest rate and the style of liability schedule, while the other bond portfolios are