基于蒙特卡罗模拟的养老基金投资策略分析
发布时间：2018-10-09 08:59
【摘要】：投保人寿命超出预期、利率长期处于较低水平和股市收益率降低都在一定程度上促使着养老金缺口的增大,由此带来的问题就是越来越多的国家逐步陷入到养老金危机当中。为了应对养老金危机,最有效的办法无疑是提高养老基金投资组合的收益率,因此寻找一个可以评估养老基金投资组合优劣的办法就显得很有意义。本文通过对蒙特卡罗模拟得到的经济场景进行数据挖掘,进而评估养老基金不同投资组合的优劣。首先,从蒙特卡罗模拟得到的经济场景中选取一组最优的资产负债比指标决定变量,然后建立Logistic回归模型并在R语言中实现,同时使用决策分析的方法来评估模型拟合度。之后,结合历史数据并考虑季节性因素构建时间序列模型,对长期国债的实际收益率和名义收益率做出预测。最后,通过预测六个投资组合的资产负债比高于100%的概率,来从中选出一个最优的投资组合。
[Abstract]:The life span of policy holder is longer than expected, the interest rate is in low level for a long time and the stock market yield is lower to a certain extent, the pension gap is enlarged to a certain extent, the problem that brings about is that more and more countries gradually fall into the pension crisis. In order to deal with the pension crisis, the most effective way is undoubtedly to increase the return rate of the pension fund portfolio, so it is meaningful to find a way to evaluate the pension fund investment portfolio. In this paper, the economic scenarios obtained by Monte Carlo simulation are mined to evaluate the advantages and disadvantages of different investment portfolios of pension funds. Firstly, a set of optimal asset-to-liability ratio determinants is selected from the economic scenario of Monte Carlo simulation, then Logistic regression model is established and implemented in R language, and the method of decision analysis is used to evaluate the fitness of the model. Then, combining historical data and considering seasonal factors, a time series model is constructed to predict the real and nominal yields of long-term government bonds. Finally, an optimal portfolio is selected by predicting the probability that the asset-to-liability ratio of six portfolios is higher than 100%.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.59;F840.6;F224
本文编号：2258760
[Abstract]:The life span of policy holder is longer than expected, the interest rate is in low level for a long time and the stock market yield is lower to a certain extent, the pension gap is enlarged to a certain extent, the problem that brings about is that more and more countries gradually fall into the pension crisis. In order to deal with the pension crisis, the most effective way is undoubtedly to increase the return rate of the pension fund portfolio, so it is meaningful to find a way to evaluate the pension fund investment portfolio. In this paper, the economic scenarios obtained by Monte Carlo simulation are mined to evaluate the advantages and disadvantages of different investment portfolios of pension funds. Firstly, a set of optimal asset-to-liability ratio determinants is selected from the economic scenario of Monte Carlo simulation, then Logistic regression model is established and implemented in R language, and the method of decision analysis is used to evaluate the fitness of the model. Then, combining historical data and considering seasonal factors, a time series model is constructed to predict the real and nominal yields of long-term government bonds. Finally, an optimal portfolio is selected by predicting the probability that the asset-to-liability ratio of six portfolios is higher than 100%.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.59;F840.6;F224
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