保险类上市公司最优投资组合策略研究

发布时间：2018-05-05 19:39

本文选题：保险类上市公司 + 投资组合　；参考：《东北农业大学》2013年硕士论文

【摘要】：承保业务和投资业务是公认的保险业发展的两大支柱，承保利润和投资利润构成了各保险公司的主要利润来源。由于保险行业内部竞争加剧，承保利润不断下滑，只有有效、安全地运作投资，才能保证保险类公司持续稳定增长的业绩。作为保险业的重要支柱，正确地进行投资组合保险类的资金是保险业发展和经营的重要策略。保险类公司由费用率的降低与投资收益率逐步提高的循环为保险类公司的正常运营打了坚实的基础。随着保险业日渐成熟，保险类业务发展的空间越来越有限，此时保险类资金的投资差异所导致的收益率高低在保险类公司中越来越显出核心竞争力作用。如何选择最优投资组合策略关系到投资的效率，已成为发展投资业务的关键，尤其是针对发展相对成功的保险类上市公司，投资业务不仅关系到公司自身的经营成败，更影响到保险者和投资者的利益，优化其投资组合策略刻不容缓。基于此本文选取保险类上市公司为研究对象，结合我国实际情况研究最优投资组合策略，具有重要意义。本文的目的是研究我国保险类上市公司的最优投资组合策略，为保险类上市公司选择最优投资组合策略提供方法指导，促进我国保险类上市公司的健康发展。本文由以下几方面组成：第一部分首先介绍本文的背景、目的和意义；然后对国内外文献进行系统地研究；最后介绍本文的主要内容和研究方法。第二部分对相关概念和理论基础进行了介绍，分别介绍了保险资金、保险投资、投资组合策略等相关概念和投资组合理论、资本资产定价模型、资产负债管理理论。第三部分通过官方数据研究分析我国保险类上市公司投资组合策略现状，总结出保险类上市公司投资组合策略中存在问题，包括资产负债匹配不合理、投资组合策略管理水平有待提高、投资组合策略效率偏低。第四部分对保险类上市公司最优投资组合策略进行实证分析。在Markowitz模型基础上构建保险类上市公司最优投资组合策略模型，根据收取保险资金的总体收益目标以及各资金性质对资产进行配置，并选择银行存款、债券、股票和证券投资基金组成了投资组合，在我国政策许可和市场条件的限制下，运用构建的最优投资组合策略模型，对实际情况进行数量化研究，计算有效投资组合，，得出合理的资产配置比例，使投资组合在实现收益目标的同时达到风险最小化的策略。本文选取2007年-2011年我国所有保险类上市公司的公开数据展开研究，通过横向与纵向两方面对实际投资策略比例与计算得出的理论投资策略比例进行全方位地比较分析，形成保险类上市公司投资组合策略最优化的实证分析结果。第五部分保险类上市公司投资组合策略的优化，提出完善资产负债匹配管理、建立投资组合策略专业化管理机制、提高投资组合策略增值能力三点优化对策，以促进保险类上市公司得出最优投资组合策略。第六部分针对上述研究得出结论。
[Abstract]:The underwriting and investment business are the two pillars of the recognized insurance industry. The insured profits and the investment profits constitute the main source of profit for the insurance companies. As the internal competition of the insurance industry is aggravated and the underwriting profit is declining, only the effective and safe operation of investment can ensure the sustained and stable growth of the insurance companies. As an important pillar of the insurance industry, it is an important strategy for the development and management of the insurance industry to properly carry out the funds of the portfolio insurance category. The insurance company has laid a solid foundation for the normal operation of the insurance companies from the reduction of the cost rate and the gradual increase in the rate of return on investment. With the maturity of the insurance industry, the insurance business has developed. There is more and more limited space. At this time, the rate of income caused by the investment difference of insurance funds is becoming more and more important in the insurance company. How to choose the optimal portfolio strategy to relate the efficiency of investment has become the key to the development of investment business, especially for the relatively successful insurance listed companies. Investment business not only affects the success or failure of the company itself, but also affects the interests of the insurers and investors, and it is urgent to optimize its portfolio strategy. Based on this article, it is of great significance to select the insurance listed companies as the research object and to study the optimal portfolio strategy in combination with the actual situation of our country.
The purpose of this paper is to study the optimal portfolio strategy of China's Insurance listed companies, to provide guidance for the selection of the optimal portfolio strategy for the listed insurance companies and to promote the healthy development of the listed insurance companies in China. This article is composed of the following aspects: the first part first introduces the background, purpose and significance of this article; The literature at home and abroad is systematically studied. Finally, the main contents and research methods of this article are introduced. The second part introduces related concepts and theoretical foundations, and introduces the related concepts and portfolio theories, the capital asset pricing model, the asset liability management theory, and the theory of asset and liability management. The three part analyzes the current situation of the portfolio strategy of China's Insurance Listed Companies through the official data, summarizes the existing problems in the portfolio strategy of the insurance listed companies, including the irrational matching of assets and liabilities, the management level of the portfolio strategy and the low efficiency of the portfolio strategy. The fourth part is on the insurance listed companies. On the basis of the Markowitz model, the optimal portfolio strategy model of the listed insurance company is constructed. The portfolio is composed of bank deposits, bonds, stock and securities investment funds, which are composed of bank deposits, bonds, stocks and securities investment funds. Under the restriction of China's policy licensing and market conditions, we use the optimal portfolio strategy model constructed to carry out quantitative research on the actual situation, calculate the effective portfolio, draw a reasonable proportion of asset allocation and make the portfolio achieve the risk minimization at the same time to achieve the goal of income. This paper selects China in 2007 -2011. The public data of all insurance listed companies are studied, and the proportion of the actual investment strategy ratio and the calculated theoretical investment strategy ratio are compared comprehensively through the horizontal and vertical two parties, and the empirical analysis results are formed for the optimization of the portfolio strategy of the insurance listed companies. The fifth part of the listed insurance listed companies is invested. The optimization of the portfolio strategy proposes to perfect the asset liability matching management, establish the specialized management mechanism of the portfolio strategy and improve the three point optimization strategy of the investment portfolio strategy, in order to promote the insurance listed companies to get the optimal portfolio strategy. The sixth part draws the conclusion of the previous research.

【学位授予单位】：东北农业大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F275;F842.3

【参考文献】