基于MNL模型的个人账户基金有效投资研究

发布时间：2018-02-24 00:19

本文关键词： 个人账户基金投资模式投资策略行为投资组合理论 MNL模型　出处：《山东财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：老龄化的到来，对全球范围内的养老保险体系提出了考验，传统的现收现付制已经难以为继。上世纪末，各国纷纷开始对养老保险制度进行改革，中国也不例外。1995年，我国由传统的现收现付制向“统账结合”的部分积累制模型转变。新的制度为每位参保者建立了个人账户，但是由于养老保险统筹账户入不敷出和统筹账户、个人账户的混账经营，统筹账户开始透支个人账户的资金，造成了个人账户的“空帐”运行。在意识到“空帐”是我国养老保险制度改革道路上的绊脚石之后，我国分三批开始对14个省市做实个人账户基金。做实个人账户的速度惊人，截止到2012年3月，全国做实个人账户达2700多亿元。做实了的个人账户分两种运营方式，一部分是中央财政补助部分，可由省级政府委托给全国社保基金理事会进行投资运营，并承诺一定的收益率。另一部分由地方负责运营管理。两部分基金的收益率形成鲜明对比：截止到2011年底，全国社保基金的年均收益率为8.41%，超过同期通货膨胀率近6个百分点，比承诺的收益率高出4.9个百分点。但是，地方管理的个人账户基金的投资范围被严格限制在银行存款和国债上，10年来的年均收益率不到2%，跑不过每年的通货膨胀率，增值保值就成为空谈。国内学术界已经达成共识，认为个人账户基金能否增值保值关系到我国养老保险制度的改革的成败。因此，寻找个人账户基金的高效的投资方式就成了当务之急。本文正是基于此目的进行了相关研究。具体来讲，本文分为六章，主要内容如下：第1章，总结了本文的研究背景，引出了本文主要的研究内容。在此基础上，分别从养老保险基金投资模式、行为金融学和投资比例的确定三方面概括归纳了国内外养老保险基金投资研究现状。最后给出了本文的研究思路、研究方法和创新。第2章，先是写出了我国个人账户基金的发展过程以及发展现状，，然后建立了基金平衡收支模型，算出了维持基金平衡收支的最低收益率要求，结合我国个人账户基金投资收益率现状，得出了现行基金收益率与我们所期望的收益率的差距。接下来分析了我国个人账户基金投资运营中的问题所在。第3章，比较世界上比较有代表性的国家的养老保险基金运营模式，提取出了对我国有借鉴性的部分。第4章，结合第3章的结论和我国现状，提出适合我国的个人账户基金投资运营模式，并为各角色物色合适的机构，进而从效率和风险控制两个方面给出了完善该投资运营模式的补充。第5章，运用行为投资组合理论和随机效用理论建立MNL模型，来描述投资经理的实际投资行为，然后运用14支优秀标准混合型基金的投资数据进行实证分析，得出“可参照的”投资组合比例。第6章，针对上述研究提出有助于我国做好个人账户基金有效投资的建议。本文在借鉴了国内外养老保险基金投资研究的基础上对我国个人账户基金有效投资进行了探索性研究。希望通过本文的写作，对我国个人账户基金投资运营提供一些借鉴意义。
[Abstract]:The arrival of aging of the globe has challenged old-age insurance system. The traditional PAYG system has been difficult to continue. At the end of last century, many countries began to reform the pension system, China is no exception in.1995, our country from the traditional PAYG system to the part accumulation model transformation. The new system is established for each insured individual account, but because the pension insurance account deficits and pooling accounts, personal accounts "management, account overdraft of personal account funds, resulting in a personal account of the operation of" empty account ". After realizing the" empty account "is a stumbling block the road of reform of endowment insurance system in our country, our country started in three batches of 14 provinces and cities. Personal accounts fund personal accounts at an alarming rate, by the end of March 2012, the national personal accounts The household is about 270000000000 yuan.
Real personal accounts run in two ways, one part is the central financial subsidy, provincial government entrusted NSSF investment operations, and promised a certain rate of return. The other part isoperated by local government. The two part of the fund's yield in stark contrast: by the end of 2011, the national social security fund's average annual rate of return of 8.41% over the same period, inflation rate of nearly 6 percentage points, 4.9 percentage points higher than the revenue commitments. However, the local management of personal account fund investment scope is strictly limited to bank deposits and government bonds, in 10 years the average annual yield of less than 2%, but run the annual inflation rate, increment will become empty. Domestic academic circles have reached a consensus that the individual account fund can hedge value related to the reform of the old-age insurance system in China's success. Therefore, finding the efficient investment way of personal account fund has become a top priority. Based on this purpose, this paper has carried out related researches. Specifically, the paper is divided into six chapters. The main contents are as follows:
The first chapter summarizes the research background of this paper, the main research contents in this paper. On this basis, respectively, from the pension insurance fund investment patterns, determine the behavior finance and investment proportion of the three sums up the research status of domestic and foreign pension fund investment. Finally this paper gives the research methods and innovation the first is to write. In the second chapter, the development process of China's personal account funds and the development of the status quo, then established a fund balance model, calculated the minimum income to maintain the fund balance rate requirements, combined with the investment income of China's individual account funds rate situation, the current fund yields and we expect the rate of return the gap in our country. Then analyzed the personal account fund investment operation problems. The third chapter compares the world more endowment insurance based representative countries Jinyun Business model is extracted on the part of China reference. In the fourth chapter, combined with the conclusion of the third chapter and the current situation of our country, put forward for China's personal account fund investment operation mode, and for the role of suitable control mechanism, and proposed two supplement the investment operation model from efficiency and risk. The fifth chapter, using the behavioral portfolio theory and random utility theory to establish the MNL model to describe the actual behavior of investment managers, investment data, and then use the 14 outstanding hybrid funds for empirical analysis, draw the "reference" proportion of the portfolio. In the sixth chapter, based on the above research are helpful to our country make effective investment of personal account fund.
Based on the research of pension fund investment at home and abroad, this paper makes an exploratory research on the effective investment of personal account fund in China. I hope this article will provide some reference for our personal account fund investment and operation.

【学位授予单位】：山东财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.5

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