基于均值-ES模型的全国社保基金最优投资组合研究

发布时间：2018-04-13 17:29

本文选题：全国社保基金 + 投资组合　；参考：《西北大学》2017年硕士论文

【摘要】：随着社会人口老龄化的形势越来越严峻,如何应对未富先老的现状,成为民众热议话题。作为国家养老事业的后续保障力量,全国社会保障基金的资产规模越发宏大,资金管理效率越发引人关注。本文以全国社保基金为研究对象,探讨了现代投资组合理论的发展进程,以均值-方差模型为基础,换用ES来度量组合风险,建立均值-ES模型。接下来分析了各种投资工具的风险收益特点,考虑到法律规章和模型的实证操作,最终选定:一年期银行存款、国债、基金、企业债券、股票,收集各金融资产2006年1月1日到2016年12月31日的月度收益率数据,对样本数据进行正态检验和ARCH检验后,发现其具有尖峰厚尾特征,通过比较,最后选定GARCH(1,1)-t模型来描述各金融资产收益率的边缘分布。借用t-copula函数来描述其相关性,通过蒙特卡洛仿真来模拟各金融资产未来的收益率序列,最后运用MATLAB软件求解出95%和99%置信水平下的、不同期望收益率的最优投资组合,该结果可为全国社保基金提供投资参考。另外,本文发现,期望收益率越高,股票和企业债等高收益高风险的资产配置比例也不断提升。最后本文根据实证结果和国外先进经验总结,针对性地提出了一些政策建议。
[Abstract]:With the aging of social population becoming more and more serious, how to deal with the situation of aging before becoming rich has become a hot topic.As the follow-on security force of the national pension, the asset scale of the national social security fund is more and more large, and the efficiency of fund management is attracting more and more attention.Taking the National Social Security Fund as the research object, this paper discusses the development process of the modern portfolio theory. Based on the mean-variance model, we use es to measure the portfolio risk and establish the mean-es model.Then it analyzes the risk return characteristics of various investment instruments, considering the empirical operation of laws, regulations and models, and finally selects: one-year bank deposits, treasury bonds, funds, corporate bonds, stocks,From January 1, 2006 to December 31, 2016, the monthly return data of each financial asset are collected. After normal test and ARCH test, the data are found to have the characteristics of peak and thick tail.Finally, the GARCHN 1 ~ 1 ~ (-1) -t model is selected to describe the marginal distribution of the return on financial assets.The t-copula function is used to describe its correlation, and the Monte-Carlo simulation is used to simulate the future yield series of financial assets. Finally, the optimal portfolio with 95% and 99% confidence levels, with different expected returns, is solved by using MATLAB software.This result can provide the investment reference for the National Social Security Fund.In addition, the higher the expected rate of return, the higher the ratio of asset allocation with high return and high risk, such as stocks and corporate bonds.Finally, according to the empirical results and foreign advanced experience summary, the paper puts forward some policy recommendations.
【学位授予单位】：西北大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F842.61;F832.51

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