A Study on Portfolio Efficiency of Investment-Oriented Insurance Policies

[[abstract]]投資型保險兼具保險保障與投資理財兩大功能，保戶可彈性決定投資標的與投資比例，然近期全球金融市場波動劇烈，造成多數投資型商品的市值大幅度萎縮，因此針對不同投資形態與需求尋求效率之資產配置益發顯得重要。故本文以 2003-2007 年間，M 壽險公司銷售之投資型保險商品所連結之共同基金為研究對象，運用帶有無風險性資產隨機優勢法則，檢驗基金淨值報酬與規模基金組合的報酬績效，以期確實擇選出報酬分配較具優勢之基金組合。實證結果顯示一維基金組合的建構下，最高平均報酬與大規模基金組合須與無風險利率進行配適，報酬分配方能優於其他基金組合。然而，二維基金組合普遍不存在大規模效果。單筆投資與定期定額投資法，分別在最低報酬與最高報酬組合中的大規模基金有較佳的報酬績效，且須與無風險性資產進行配適，方能優於其他規模組合。[[abstract]]Policy holders flexibly decide underlying investment and allocation proportion through the investment-oriented insurance, in addition the package of insurance and investment to be provided in the alternative ways has been decided. However, the economic circumstance dramatically fluctuates according to global market situation, which induces recession in the market value of investment-oriented insurance. Therefore, an effective asset allocation is important to investor preference and demand. This study applies stochastic dominance with and without risk-free assets to examine the mutual funds profitability according to average return portfolios and size portfolios targeted on investment-oriented insurance combination for the “M” life insurance company from 2003 to 2007. Our purpose concludes the dominating distribution of return based on various investment portfolios. The empirical result suggests that the highest return portfolios and the largest size portfolios separately collocate with the risk-free asset and then both portfolios have stochastically dominated others in one dimension. In addition, adopting dollar-cost averaging and lump sum investments, the largest size portfolios from the lowest and the highest returns separately have stochastically dominated others collocating with the risk-free asset