全国社会保障基金投资结构优化研究

发布时间：2018-04-21 12:34

本文选题：全国社会保障基金 + 投资结构　；参考：《聊城大学》2017年硕士论文

【摘要】：随着我国人口老龄化速度的不断加快,以及现代家庭逐渐趋于小型化,我国居民个体和政府都面临着巨大的养老压力,因此养老金的支付能力也不断受到质疑。为了应对不断提高的社保压力,缓解资金缺口,2000年8月经国务院批准设立了全国社会保障基金,作为社保基金的战略储备资金,并且随之成立了全国社会保障基金理事会作为基金的投资运营主体。全国社会保障基金作为未来养老金出现缺口时的补充与调剂资金,安全性尤其重要,因此其投资风险及投资收益也备受关注。为了提高全国社会保障基金的投资收益、降低投资风险,文章的主要研究方向是如何优化全国社会保障基金的投资结构既在全国社会保障基金的投资过程中如何有效的选择投资标的以及分配投资标的之间的投资比例。文章主要分为五章,章节具体内容安排为:第一章介绍了有关的相关概念包括全国社会保障基金的概念及其投资结构的概念。接着分析了社会保基金投资的理论基础主要有效市场假说、投资组合模型、资产定价理论以及它的绩效评价指标。通过分析社会保障基金投资的相关理论基础之间的联系,找出其对我国全国社会保障基金的投资的指导意义,以期在这些理论之上建立科学化的投资模式。并介绍了其投资依据,投资原则以及投资理念;第二章主要分析了全国社会保障基金在投资过程中的投资实践。根据全国社会保障基金的投资依据,阐述了其现在的投资运行结构,及在现行的投资结构下通过与CPI、GDP增长率对比分析了其投资收益状况;第三章中主要分析研究全国社会保障基金投资结构中存在的问题及原因。在全国社会保障基金的市场投资运营中主要面临着系统性风险,如市场波动风险、通货膨胀波动风险、利率波动风险、委托—代理风险、由操作人员造成的操作风险。通过分析找出全国社保基金投资结构中存在的问题并分析了出现这些问题的主要原因;第四章中主要是介绍了三个典型的国家美国、新加坡、日本的社会保障基金投资结构,有利于完善我国全国社保基金的运作管理模式;第五章主要是为全国社保基金投资提供政策建议,包括健全法律法规,改善监管模式;创新投资方式,实施多元策略;完善投资结构,优化投资比例。为了使全国社会保障基金建立更加科学的投资组合,实现资金的保值增值,本文建立了均值-方差模型,在量化分析的基础上,试图找出更加合理的投资组合策略,提高股票等高风险资产的投资比例,降底银行存款和国债的投资比例以提高投资组合收益率。
[Abstract]:With the rapid aging of the population in China and the miniaturization of modern families, the individual and government of our country are faced with enormous pressure to provide for the aged, so the ability to pay pension is also being questioned. In order to cope with the rising social security pressure and alleviate the funding gap, the National Social Security Fund was established in August 2000 with the approval of the State Council as the strategic reserve fund for the Social Security Fund. And then set up the National Social Security Fund Board as the main body of investment and operation of the Fund. The security of the National Social Security Fund, as the supplement and adjustment of the pension gap in the future, is especially important, so its investment risk and investment income are also concerned. In order to increase the investment income of the National Social Security Fund and reduce the investment risk, The main research direction of this paper is how to optimize the investment structure of the national social security fund how to select the investment target effectively and how to allocate the investment proportion among the investment targets in the investment process of the national social security fund. The article is divided into five chapters: chapter one introduces the related concepts including the concept of national social security fund and the concept of investment structure. Then it analyzes the theoretical basis of social security fund investment, including the efficient market hypothesis, portfolio model, asset pricing theory and its performance evaluation index. Based on the analysis of the relationship between the theoretical basis of social security fund investment, this paper finds out the guiding significance of the investment of social security fund in China, in order to establish a scientific investment model on the basis of these theories. The second chapter mainly analyzes the investment practice of the National Social Security Fund in the process of investment. According to the investment basis of the national social security fund, this paper expounds its present investment operation structure, and analyzes its investment income status by comparing with the CPI GDP growth rate under the current investment structure. The third chapter mainly analyzes the problems and causes in the investment structure of the national social security fund. In the market investment operation of the national social security fund, there are systemic risks, such as market fluctuation risk, inflation fluctuation risk, interest rate fluctuation risk, principal-agent risk, operational risk caused by operator. By analyzing the problems existing in the investment structure of the National Social Security Fund and analyzing the main reasons for these problems, the fourth chapter mainly introduces the investment structure of the social security fund in three typical countries, the United States, Singapore and Japan. The fifth chapter is to provide policy advice for the investment of the National Social Security Fund, including perfecting laws and regulations, improving the regulatory model, innovating investment mode and implementing multiple strategies. Improve the investment structure and optimize the proportion of investment. In order to make the national social security fund establish a more scientific investment portfolio and realize the maintenance and appreciation of the capital, this paper establishes the mean-variance model, and on the basis of quantitative analysis, tries to find out a more reasonable portfolio strategy. Increase the ratio of investment in risky assets such as stocks, and lower the ratio of bank deposits to treasury bonds in order to increase the return on portfolio investment.
【学位授予单位】：聊城大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F812.4

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