基本养老保险基金入市的资产配置研究

发布时间：2018-03-31 13:47

本文选题：养老基金　切入点：风险管理　出处：《首都经济贸易大学》2017年硕士论文

【摘要】：在人口老龄化、养老金收支缺口和养老金贬值压力下,把养老金投资于资本市场是避免养老金遭受潜在损失的有力渠道。养老基金在资本市场上投资,首要的是配置资产,实现最大收益。本文重点研究养老基金入市运营实现最大收益的问题,即研究在《基本养老保险基金投资管理办法》比例限制下养老基金在各类金融工具上的最优配置比例,收益率和方差;为了对比《办法》规定的投资比例的合理性,本文进一步去掉上述比例限制,又研究了在无约束条件下养老基金的最优配置比例,收益率和方差。将上述两种情况对比,从而揭示《办法》规定的比例是否合理。其次,本文还简述了养老基金入市运营面临利率风险、汇率风险、政策风险等一系列风险因素。在研究方法上,本文采用对比分析法、假设分析法、历史模拟法,用各类金融工具的历史收益率模拟未来收益率;借鉴资产组合理论,构建目标函数和约束条件,使用方差-协方差分析法判断金融工具的风险性大小和相关关系,使用Sharpe ratio确定最优风险资产配置,使用资产的效用函数来确定风险资产和无风险资产的配置比例,最终确定整个养老基金中的各类金融工具的投资比例。本文的研究成果肯定了《办法》的合理性,同时建议,为使基金达到最优化配置同时达到控制风险的目的,可以进一步放松投资比例限制,将原来《办法》规定的股票类类和股权类金融资产比例由30%、20%提高为34%和32%。
[Abstract]:Under the pressure of aging population, gap of pension income and expenditure and depreciation of pension, investing pension in capital market is a powerful channel to avoid the potential loss of pension. This paper focuses on the problem of realizing the maximum income of pension funds in market operation, that is, the optimal allocation ratio of pension funds in various financial instruments under the restriction of the proportion of the basic pension fund investment management method. In order to compare the rationality of the investment proportion stipulated in the method, this paper further removes the restriction of the above proportion, and studies the optimal allocation ratio of the pension fund under the unconstrained conditions. The rate of return and variance are compared to reveal whether the proportion stipulated in the measures is reasonable or not. Secondly, this paper also briefly describes the risk of interest rate and exchange rate of pension fund entering the market. Policy risk and a series of risk factors. In the research methods, this paper uses comparative analysis, hypothetical analysis, historical simulation, using the historical rate of return of all kinds of financial instruments to simulate the future rate of return. The objective function and constraint conditions are constructed, and the analysis of variance-covariance is used to judge the risk and correlation of financial instruments, and Sharpe ratio is used to determine the optimal allocation of risky assets. The utility function of assets is used to determine the allocation ratio of risk assets and risk-free assets, and the investment ratio of all kinds of financial instruments in the whole pension fund is finally determined. In order to optimize the allocation of funds and control risk, we can further relax the limit of investment proportion, and increase the proportion of financial assets of stock class and equity class from 30% to 34% and 32% respectively.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F842.67

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