本研究探討新型債券SeLFIES在台市場應用之可行性，其現金流呈現類似年金給付，但票息透過人均消費量進行調整，更能保證退休後生活水平不受影響，在衡量退休缺口上不必斟酌於報酬率等財務數字，更方便投資人進行退休規劃，目前在台灣市場上能供選擇的退休工具並不多，SeFLEIS有極大的潛力及發展機會，值得深究探討。
　　欲計算SeFLEIS理論價格，本文以台灣市場資料結合多種總經指標來預估實質利率，並採用主成分分析結合自回歸挑選相關變量以選擇模型，計算出理論價格後，將其與市面上常見的股債60/40配置投資組合及目標日期基金(TDF)進行績效比較，並嘗試用SeLFIES債券取代傳統股債配置中的無風險資產部分，探討其在台灣市場能否如願降低投資組合風險。
　　研究結果發現以七個主成分搭配AR(2)模型計算出的相對RMSE最低，能最準確預估市場利率，且SeLFIES債券能提前鎖定退休現金流，在市場經濟不佳時有效降低退休風險並獲得穩定報酬。此外，以其取代傳統投資組合中的無風險資產，在各期間內表現都優於一般公債，對於旨在進行退休規劃的投資人而言，若此債券能成功在台發行，是一項推薦選擇的投資標的。

This study explores the feasibility of a new type of bond "SeLFIES" in the Taiwan market. Its cash flow is similar to annuity payments, but the coupons are adjusted through per capita consumption, which can better ensure that the standard of living after retirement is not affected. It is much easier to calculate the retirement gap without financial data like the rate of return, making it easier for investors to plan for retirement. Currently, there are not many retirement instruments available in the Taiwan market. SeFLEIS has great potential and development opportunities, which are worthy of further study.
To calculate SeLFIES theoretical price, we use Taiwan market data combined with various macroeconomic indicators to estimate the real interest rate and uses principal component analysis combined with autoregression to select relevant variables to choose the model. After calculating the theoretical price, compare it with the 60/40 allocation portfolio and the target-date fund (TDF). Moreover, we use the SeLFIES bond to replace the risk-free asset part of the traditional equity bond allocation portfolios to explore whether it can reduce the portfolio risk in the Taiwan market.
The results of the study found that the relative RMSE calculated with the five principal components and the AR(2) model is the lowest, which can estimate the market interest rate most accurately, and the SeLFIES bonds can lock in the retirement cash flow in advance, effectively reducing the retirement risk when the market economy is in recession. Furthermore, using SeLFIES replaces the risk-free assets in the traditional investment portfolio performs better in all periods. For investors who intend to plan for retirement, it is a recommended choice for investment.

Contents
論文審定書 i
摘要 ii
Abstract iii
List of Figures iv
List of Tables v
I. Introduction 1
1.1 Background 1
1.2 Motivation for Research 3
1.3 Research Purpose 4
II. Literature Review 5
2.1 Introduction to the basic design concept of SeLFIES 5
2.2 Target Date Funds 6
2.3 Inflation rate prediction model 8
III. Data and Methodology 11
3.1 Analytical Procedures 11
3.2 Data Description 14
3.3 Measure the Achievement Rate of Retirement Goal: 16
3.4 Real Coupon Adjustment Method: 17
3.5 Inflation Rate Prediction 18
3.6 Relative RMSE 18
3.7 Principal Component Analysis 19
3.8 Augmented Dickey-Fuller test 19
IV. Empirical Results 20
4.1 Summary statistics for macroeconomics variables 20
4.2 Principal Component Analysis and Interest Rate Model 22
4.3 SeLFIES Pricing and Index Analysis 25
4.4 Historical Simulation of SeLFIES and Different Portfolio 27
4.5 SeLFIES as Risk Free Asset in Portfolio 35
V. Conclusion 38
5.1 Conclusions 38
5.2 Suggestions 39
References 42

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