我国养老保险基金投资的风险测度研究

发布时间：2018-02-22 11:55

本文关键词： 养老保险基金风险测度方法资产优化组合　出处：《北京交通大学》2012年硕士论文　论文类型：学位论文

【摘要】：随着我国养老保险基金资产总额的扩大,金融市场日渐成熟,养老保险基金增值保值的投资目标要求投资方式也日益多样化。如何处理好养老保险基金投资的收益与风险的关系已经成为社会关注的重点和亟待解决的问题,应用适当的风险测度方式成为其合理预测投资风险和收益的必要条件。本论文从养老保险基金的概念界定及基础理论入手,分析了养老保险基金的投资方式和投资风险,并根据这些存在的风险概述了在金融风险管理理论发展过程中具有里程碑意义的重要模型,具体包括均值-方差模型、均值-风险价值模型(VaR)模型、均值-条件风险价值(CVaR)模型和均值-条件风险跌幅(CDaR)模型,通过介绍其概念和性质,阐述了其各自作为风险度量方法的优缺点,并推导出了基于上述各种风险度量方法的最优投资组合优化模型。其次,在实证分析上,本文选取2011年度社保基金投资持股市值居前十位的股票作为样本分别计算了其方差、VaR、CVaR和CDaR并进行了比较,验证了各种风险度量方法的优势和局限性,通过国外相关使用方法的借鉴,初步探寻出CDaR方法是更加适合我国的风险测度指标。随后本文根据R.T Rockafellar和S.Uryasev的优化算法构造的以条件风险跌幅(CDaR)度量风险的投资组合的优化模型,用Matlab科学计算软件进行了优化计算,得到了该组合的最优投资权重。论文的最后一部分针对前文的论述及实证进行了总结,得出养老保险基金进行多元化配置的风险测度方式的选择,并对我国养老保险基金投资及监管提出了相关建议。
[Abstract]:With the expansion of the total assets of pension insurance funds in China, the financial market is becoming more and more mature. The investment target of the pension insurance fund to increase its value and maintain its value requires the diversification of the investment methods. How to deal with the relationship between the income and the risk of the investment of the pension insurance fund has become the focus of the society's attention and an urgent problem to be solved. It is necessary to apply appropriate risk measurement method to predict investment risk and income. Starting with the definition and basic theory of endowment insurance fund, this paper analyzes the investment mode and investment risk of pension insurance fund. According to these existing risks, the paper summarizes the important models with milestone significance in the development of financial risk management theory, including the mean-variance model, the mean-risk value model and the VaR model. The mean conditional risk value (Cvar) model and the mean conditional risk reduction model (CDaR) model are introduced, and their advantages and disadvantages as risk measurement methods are described by introducing their concepts and properties. The optimal portfolio optimization model based on the above risk measurement methods is derived. Secondly, in the empirical analysis, this paper selects the top ten stocks of social security fund investment holding market value as a sample to calculate the variance VaRV Cvar and CDaR, and verifies the advantages and limitations of various risk measurement methods. Through the reference of relevant methods abroad, this paper preliminarily finds out that CDaR method is a more suitable risk measure index for our country. Then, according to R. T Rockafellar and S. Uryasev's optimization algorithm, the optimal model of the portfolio measured by conditional risk reduction (CDA) is constructed, and the optimal investment weight of the portfolio is obtained by using the Matlab scientific calculation software. In the last part of the paper, the author summarizes the previous discussion and empirical analysis, and concludes the choice of risk measurement methods for the diversified allocation of pension insurance funds, and puts forward some relevant suggestions on the investment and supervision of pension funds in China.
【学位授予单位】：北京交通大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F842.6;F832.5;F224

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