新农保个人账户基金投资组合的策略研究

发布时间：2018-05-27 09:21

本文选题：新农保 + 个人账户　；参考：《云南财经大学》2013年硕士论文

【摘要】：当前，我国的养老保险体系正受到人口老龄化的严重冲击，长寿风险带来的养老金支付压力日益凸显。本文的研究对象主要是新型农村社会养老保险（简称新农保）应采取怎样的投资组合策略才能使其在保证安全性和流动性的前提下取得良好的投资收益。研究通过实证分析与理论分析相结合的方式，从我国现实情况出发，对我国新农保个人账户的投资组合策略以及完善投资运营提出建议。基于养老基金的特殊性，新农保个人账户基金投资于资本市场需要考虑的最重要的问题是:以何种投资工具构建怎样的投资组合，从而实现既定风险下的收益最大化。本文以银行存款、国债、股票基金、沪深指数和货币基金作为养老保险基金投资组合的选择工具，在我国资本市场2005-2012年数据的基础上构建投资组合并进行实证分析，结合我国资本市场的投资环境提出对个人账户基金的投资应实行的投资组合比例为：固定收益类资产比例在20.0%-64.0%之间，流动性资产比例在10.0%-47.5%之间，高收益资产比例在1.0%-30%之间。基于问题导向的原则，本文主要采用马克维兹均值—方差模型为基础，结合中国新农保个人账户的实际运行以及资本市场发展现状，计算和分析新农保个人账户的投资组合改良问题。本文还采用了比较分析法，运用超效率DEA方法对新农保个人账户的投资组合情况进行比较分析和解释。由于本文的研究对象是一个实践性较强的问题，为了弥补该研究领域定量分析较为缺乏的缺陷，本文较多地采用了定量分析的方法。本研究的主要创新之处表现在于：在实际运用方面，本研究为新农保个人账户问题的解决及其可持续发展提供了一种全新的思路，，是对新农保个人账户投资运营的一种前瞻性探索。笔者所提出的个人账户投资组合具体策略以及实施方法，可以在有效保障安全性与流动性的前提下提高个人账户收益率，从而提高参保人的养老保险福利水平。
[Abstract]:At present, the old-age insurance system of our country is being seriously impacted by the aging of the population, and the pressure of pension payment brought by the risk of longevity is becoming more and more prominent. The research object of this paper is what kind of investment portfolio strategy should be adopted by the new rural social old-age insurance (abbreviated as New Rural Insurance) in order to obtain good investment returns on the premise of ensuring security and liquidity. Through the combination of empirical analysis and theoretical analysis, this paper puts forward some suggestions on the investment portfolio strategy and the improvement of the investment operation of the new rural insurance personal account in China from the point of view of the actual situation in China. Based on the particularity of pension fund, the most important problem that the New Rural Insurance personal account Fund needs to consider in the capital market is what kind of investment portfolio to construct, so as to maximize the income under the given risk. This paper uses bank deposits, treasury bonds, stock funds, Shanghai and Shenzhen indices and monetary funds as the choice tool of pension fund portfolio, and constructs the investment portfolio based on the data of China's capital market from 2005 to 2012 and carries on the empirical analysis. According to the investment environment of our country's capital market, the proportion of investment portfolio of personal account fund should be put into practice as follows: the proportion of fixed income assets is between 20.0-64.0%, the proportion of liquid assets is between 10.0-47.5%, and the proportion of high income assets is between 1.0% and 30%. Based on the problem-oriented principle, this paper mainly adopts the Markowitz mean-variance model, combined with the actual operation of the personal account of New Rural Insurance in China and the current situation of the development of the capital market. To calculate and analyze the portfolio improvement problem of the new rural insurance personal account. This paper also uses the comparative analysis method and the super-efficiency DEA method to compare and explain the portfolio of the new rural insurance personal account. Because the research object of this paper is a practical problem, in order to make up for the deficiency of quantitative analysis in this research field, the quantitative analysis method is mostly used in this paper. The main innovation of this study lies in: in the practical application, this study provides a new way of thinking for the solution and sustainable development of the personal account problem of the new rural insurance. It is a forward-looking exploration of the investment and operation of the personal account of the new rural insurance. The specific strategies and implementation methods of the personal account portfolio proposed by the author can effectively guarantee the security and liquidity of the personal account under the premise of raising the rate of return of personal accounts, thereby improving the level of pension insurance benefits of the insured.
【学位授予单位】：云南财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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