基于M-LPM模型的我国企业年金资产配置研究

发布时间：2018-03-22 03:12

本文选题：企业年金　切入点：资产配置　出处：《中国海洋大学》2013年硕士论文　论文类型：学位论文

【摘要】：在我国严峻的老龄化背景下,基本养老保险面临着巨大的保值增值压力,单纯依靠基本养老保险实现我国养老金目标替代率58.5%存在一定困难,与国际上公认的70～80%的替代率有较大的差距。在此情形下,作为我国基本养老保险的重要补充、多支柱养老保障体系的第二层次的企业年金,它的资金的名义以及实际安全受到社会各界的关注。因此,如何实现企业年金的保值增值,获得安全合理长期稳定的投资收益率就变得至关重要。众多学者的研究表明,资产配置在投资收益的取得上发挥着巨大的作用,因此明确企业年金的投资收益目标,确定企业年金的资产配置战略,有着非常重要的现实意义。同时,企业年金投资目标实现的现实意义还体现在良好的投资收益率对于目前仍处于起步阶段的企业年金的推广能够起到不可忽视的作用。本文首先对企业年金资产配置的相关理论进行了概述。根据我国企业年金的现行制度阐明了我国企业年金的定义；然后通过与各类投资基金对比得到企业年金在投资运营特点,明确了企业年金的投资原则；还对资产配置理论进行了梳理,总结了马克维茨提出的资产配置所遵循的一般思路,在一定期望收益率下实现风险最小。随后依据我国法律规定和借鉴国外先进经验的基础上,分析了我国企业年金基金可以选取的投资渠道,有货币市场,债券市场,股票市场,海外市场以及基础设施建设,并总结了各投资渠道的收益特点。然后介绍了下侧风险度量的相关理论。阐明了什么是风险以及两种下侧风险度量方式,下偏距风险度量方法(LPM)与在险价值风险度量方法(VaR)。总结下偏距风险度量手段更适用于现实社会是由于人们对于风险的厌恶以及各种投资渠道的所获收益率波动并不符合正态分布,还有下偏距方法能够充分利用投资收益分布的特点。最后进行了实证检验。根据年金理论估算了在一定安全要求之下合适的企业年金投资收益率,并尝试对偏高的计算结果进行合理化调整；随后依据该收益率利用1阶M-LPM模型对于我国现有法律规定框架下的投资渠道进行了实证检验,并尝试加入包括发达国家与发展中国家的海外市场投资以及国内的基础设施建设投资进行模拟,并对结果进行相关分析。最终得出结论,一是企业年金作为养老保障基金不同于其他投资基金的地方在于企业年金是追求稳定收益的长期性投资基金。二是由于企业年金各种投资工具的收益分布特点以及养老基金自身的收益要求,下偏距风险模型(M-LPM)要优于均值方差模型,优于在险价值。三是在对企业年金的目标收益进行计算时不能简单地将企业年金的安全标准等同于企业年金的目标收益。四是未来应对我国企业年金投资的监管放宽,适当增加股票的投资比例限制,因为在现行企业年金投资监管的规定下难以实现预期收益目标；同时在当前经济背景下,发达国家资本市场并不是良好的投资渠道,发展中国家可以通过适度投资；基础设施建设投资在未来将是企业年金的重要投资工具。本文可能的创新点有两点,一是根据目标替代率逆推得到企业年金的目标收益率。二是在进行资产配置实证分析时引入基础设施建设以及海外市场作为新的投资渠道。
[Abstract]:In the background of population aging in China under the severe, the basic old-age insurance is facing huge pressure to increase the value, relying solely on the realization of China's basic old-age insurance pension target substitute rate of 58.5% is difficult, and replace the internationally recognized 70 to 80% of the rate of a large gap. In this case, as an important supplement to the basic pension insurance in China, a multi pillar pension system of the second levels of the enterprise annuity funds, it's name and the actual security concerns of the community. Therefore, how to increase the value of occupational pension, obtain safe and reasonable long-term rate of return on investment is very important. Many studies show that asset allocation plays the huge role in the investment income on investment income goal so clear enterprise annuity, asset allocation strategy of enterprise annuity, is very important now At the same time, the practical significance of the realization of the investment objective of the annuity is also reflected in the good rate of return on investment, which can play a negligible role in the promotion of the enterprise annuity that is still in the initial stage.
Firstly, the related theories of enterprise annuity asset allocation was summarized. According to the current system of enterprise annuity in China illustrates the definition of enterprise annuity in China; and then through various investment funds compared to get the enterprise annuity in the operating characteristics of the investment, the investment principles of enterprise annuity; the asset allocation theories, summary the general idea of Markowitz asset allocation, the expected rate of return must minimize the risk. Then according to the basic law of our country and the advanced experience of foreign countries, analysis of China's enterprise annuity fund investment channels can be selected, a money market, bond market, stock market, overseas markets as well as the infrastructure construction, and summarizes the characteristics of the return of investment channels. And then introduced the related theory of downside risk measure. The author expounds what is the risk to And two kinds of downside risk measure, risk measurement deviation (LPM) and methods of measure of value at risk (VaR) risk. The offset measurement of risk is more suitable for the reality of society is owing to the risk aversion and the various investment channels the return volatility does not accord with normal distribution, and the offset method can make full use of characteristics of income distribution of investment. The last part is empirical test. According to the estimated annuity theory suitable for a certain safety requirements under the enterprise annuity investment rate of return, and try to calculate the high result in reasonable adjustment; then according to the rate of return by 1 order M-LPM model for China's existing laws and regulations under the framework of investment channels for the empirical test, and try to add including developed and developing countries to invest in overseas markets and domestic investment in infrastructure construction The simulation was performed and the results were analyzed.
The final conclusion is that an enterprise annuity as a pension fund investment fund is different from other places that the enterprise annuity is the pursuit of stable income of long-term investment funds. Two is because the income distribution of enterprise annuity investment tools and pension fund's own income requirements, M-LPM risk model (M-LPM) is better than the mean variance model that is better than the value at risk. The three is calculated on the objective of occupational pension benefits cannot simply be equated with the safety standards of the enterprise annuity annuity income. The four is to deal with future goals of China's enterprise annuity investment deregulation, increasing stock investment ratio limit, because the provisions of investment supervision in current enterprise annuity the difficult to achieve the expected return; at the same time in the current economic background, the capital market in developed countries is not a good investment channels, development China can invest moderately; investment in infrastructure construction will be an important investment tool for the enterprise annuity in the future.
There are two possible innovations in this paper. One is the target return rate of enterprise annuity based on the target replacement rate. The two is the introduction of infrastructure and overseas market as a new investment channel in the empirical analysis of asset allocation.

【学位授予单位】：中国海洋大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F842.629

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