社保基金投资风险管理及对策

发布时间：2018-04-17 17:36

本文选题：安全首要 + 组合投资　；参考：《宁波大学》2014年硕士论文

【摘要】：改革开发30多年来，中国经济不断发展，人民生活水平也有了非常大的改善，社会保障保险制度也变得更加完善与健全。但社会保障保险基金管理所面临的问题也纷至沓来，尤其如何实现社保基金的保值增值已经让政府倍感压力。在此背景之下，利用科学的数学模型及相关的组合投资知识来对社保基金的风险管理进行探讨已经成为一个重要课题。为此，本文在介绍了国外社保基金的发展以及国内社保基金制度的建设，社保基金投资所需的要求及相应的市场环境、可能面临的风险及对策的基础上，对安全——首要模型在风险控制水平、期望收益水平及安全收益水平上的多目标最优化进行了介绍。在单账户的情况下，直接给出了模型的假设条件、最优解存在的充分必要条件及相应的求解公式；在多账户的情况下，通过对单账户最优解的线性组合也在最优解的有效前沿上的证明引出了简单的线性组合的多账户模型，并对多账户模型的求解进行了说明。通过对国债、企业债和股票在2013年度实际投资数据的搜集，银行一年期定期利率的搜集，，并根据分账户安全——首要模型利用Matlab强大的数学分析功能进行了编程计算进行了求解，并对结果进行了比较分析，从而进一步得出了社保基金应该增加权益类投资比例及加强风险管理的结论。进而结合目前阶段社保基金的投资情况提出了一些政策和建议。
[Abstract]:Over the past 30 years, China's economy has been developing, the people's living standards have been greatly improved, and the social security insurance system has become more perfect and sound.But the social security fund management is faced with a series of problems, especially how to achieve the social security fund to maintain and increase the value of social security funds has put pressure on the government.Under this background, it has become an important subject to study the risk management of social security fund by using scientific mathematical model and related knowledge of portfolio investment.Therefore, this paper introduces the development of the social security fund abroad, the construction of the social security fund system in China, the requirements for the investment of the social security fund, the corresponding market environment, the risks that may be faced and the countermeasures.This paper introduces the multi-objective optimization of safety-primary model in risk control level, expected income level and safety income level.In the case of a single account, the assumptions of the model, the necessary and sufficient conditions for the existence of the optimal solution and the corresponding solution formula are given directly.By proving that the linear combination of the optimal solution of a single account is also on the efficient frontier of the optimal solution, a simple multi-account model of linear combination is derived, and the solution of the multi-account model is explained.Through the collection of actual investment data on treasury bonds, corporate bonds and stocks in 2013, and the collection of one-year fixed interest rates by banks,According to the security-primary model of sub-account, the program calculation is carried out by using the powerful mathematical analysis function of Matlab, and the results are compared and analyzed.The conclusion is that social security fund should increase the proportion of equity investment and strengthen risk management.Furthermore, some policies and suggestions are put forward according to the investment situation of social security fund at present stage.
【学位授予单位】：宁波大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F842.6;F840.4

【参考文献】