我国基本养老保险基金投资配置策略分析

发布时间：2018-01-22 13:20

本文关键词： 基本养老保险基金投资组合保险策略资产配置　出处：《华东师范大学》2017年硕士论文　论文类型：学位论文

【摘要】：养老保险基金是支付给退休人员的退休金,用来保障退休人员的基本生活需求,它是由国家立法强制性征收的社会保险费用,是社会保障制度的重要组成部分。在我国,养老保险基金广义上可分为三个部分:基本养老保险基金,企业年金(补充养老保险)和个人商业性养老保险基金。换句话说,伴随着我国老龄化社会高峰的到来,国家、企业、个人将共同承担这些养老支出。本文接下来研究的养老保险基金是指基本养老保险基金。目前,养老基金面临如投资渠道有限、回报率低等诸多挑战。出于对养老金的安全考虑,国家规定除了预留少数几个月的日常支出以外,基金的所有结余只可购买国债或者银行存款,但是这样无法规避利率风险和通胀危机。为了应对这一挑战,2015年8月国务院颁布了《基本养老保险投资管理办法》(简称投资管理办法),鼓励多元化投资基金,然而,根据国家社保基金投资管理暂行办法提供的社保基金的经验,实施过程相对缓慢。与此同时,允许投资股票市场的基金比例受到法规的严格限制。基本养老保险入市的配套政策出台还需要些时间,很可能套用社会保障基金的模式,存在极大的不确定性。目前我国处于负利率时期,即使是在实际利率为正的时期,基本养老金所获得的银行利率和国债利率也属于管制利率,往往低于同期市场利率,无法获得合理的投资收益。整体养老金的保值增值受到严重挑战。本文围绕基本养老保险基金投资配置策略,利用比较分析及实证分析等方法,对基本养老保险投资的现状进行评估,分析总结了基金组合资产的风险与收益,并通过对投资组合保险策略CPPI与TIPP在多头时期,空头时期,盘整时期的表现分析,在此基础上,设计出一种基于TIPP策略优化的ROC-TIPP投资组合保险策略,并通过实证、效果检验证明了其有效性,对我国基本养老保险基金入市提出具体、有针对性的优化投资组合策略,同时为企业年金、商业养老保险等其他养老基金的投资管理提供参考依据。
[Abstract]:Pension insurance fund is the pension paid to retirees, which is used to protect the basic living needs of retirees. It is the compulsory collection of social insurance fees by national legislation. It is an important part of the social security system. In our country, the pension insurance fund can be divided into three parts in a broad sense: the basic pension insurance fund. Enterprise annuity (supplementary old-age insurance) and individual commercial endowment insurance fund. In other words, with the arrival of the peak aging society in China, the country, enterprises. Individuals will jointly bear these pension expenses. The pension insurance fund in this paper is the basic pension fund. At present, the pension fund is faced with limited investment channels. Challenges such as low returns. For pension security reasons, the state rules that all balances of the fund can only be purchased in treasury bonds or bank deposits, with the exception of a few months of regular spending. In order to meet this challenge, in August 2015, the State Council promulgated the "basic Pension Insurance Investment Management measures" (referred to as the investment management measures). Encourage diversification of investment funds, however, based on the experience of social security funds provided by the interim measures for the Investment Management of the National Social Security Fund, the implementation process is relatively slow... at the same time. The proportion of funds allowed to invest in the stock market is strictly limited by regulations. It will take some time for the basic old-age insurance to enter the market and will probably apply the model of social security funds. There is great uncertainty. At present, our country is in the period of negative interest rate, even when the real interest rate is positive, the bank interest rate and the national debt interest rate obtained by the basic pension also belong to the regulated interest rate. Often lower than the market interest rate in the same period, can not obtain a reasonable return on investment. The maintenance and appreciation of the overall pension is seriously challenged. This paper focuses on the investment allocation strategy of the basic pension fund. By means of comparative analysis and empirical analysis, this paper evaluates the present situation of the basic endowment insurance investment, and analyzes and summarizes the risk and income of the fund portfolio assets. And through the portfolio insurance strategy CPPI and TIPP in the long period, short period, consolidation period performance analysis, on this basis. This paper designs a ROC-TIPP portfolio insurance strategy based on TIPP strategy optimization, and proves its effectiveness by demonstration, effect test, and puts forward the concrete proposal for the entry of the basic pension insurance fund into the market in our country. It also provides reference for the investment management of other pension funds, such as enterprise annuity, commercial pension insurance and so on.
【学位授予单位】：华东师范大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F842.67

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