养老基金最优资产配置研究

发布时间：2018-05-02 00:37

本文选题：支付固定型养老基金 + 资产配置　；参考：《天津财经大学》2016年硕士论文

【摘要】：《中国养老金发展报告2015》报告数据显示,不考虑财政补贴收入的情景下,全国城镇职工养老保险基金在2014年当期已经出现了高达-1321.09亿元的赤字额。老龄化社会在当下已成为社会发展的不可逆产物,中国自20世纪末初次迈入老龄化社会形态,这一社会形态在将来的长时期内仍将延续。这就意味着社会保障体系将迎来巨大的挑战,养老基金也将面临罕见的支付能力。鉴于此情景,加强对养老基金日常的运营管理,提升基金所管理财富的投资收益以此缓解老龄化下养老基金的支付压力便成为了一个亟待解决的课题。为了应对老龄化带来的养老基金支付危机,近10年来DC型养老基金的年复合增长速率高于DB型养老基金,且DC型养老基金所占的比重日益提升。因此文章探讨DC型养老基金的最优资产配置策略问题。影响养老基金财富总额的因子多种多样,文章从养老基金投资风险资产的随机波动模型以及人口的动态演化历程出发,构建了 DC型养老基金的最佳资产配置框架。在此基础之上,本文采用随机最优控制理论的Legendre转换以及对偶理论对基金的最佳资产配置框架求解,获得了最佳投资份额以及养老基金财富总额的动态变化微分方程。之后采用数值分析的方法从影响最优投资份额的不同因子来探讨最优资产配置策略的演化规律,具体规律如下:养老基金最佳投资份额和养老基金的财富总额呈现相同的先增加后减少变化趋势;随着人口预期寿命的进一步提升,DC型养老基金为满足日益增加的支付压力而削减对风险资产的投资份额以保持基金的流动性;延迟法定退休年龄对基金的流动性要求亦随之削减,此时基金可以提升对风险资产的投资份额;养老基金的参与者对风险的厌恶进一步加深,应该降低风险资产的最佳投资份额以维持基金财富总额价值的相对稳定。最后对文章中DC型养老基金最优资产配置策略的探讨研究进行归纳总结,同时对未来潜在的方向进行梳理。
[Abstract]:Data from the China Pension Development report 2015 show that the national pension insurance fund for urban workers had a deficit of-132.109 billion yuan in the current period of 2014, without taking into account the income from financial subsidies. The aging society has become an irreversible product of social development at present. China has entered the aging society for the first time since the end of the 20th century, and this social formation will continue in a long period in the future. This means that the social security system will face a huge challenge, pension funds will face rare ability to pay. In view of this situation, strengthening the daily operation and management of pension funds and enhancing the investment income of the wealth managed by the funds to alleviate the pressure of payment of pension funds under the aging has become an urgent task to be solved. In order to cope with the pension fund payment crisis brought by aging, the annual compound growth rate of DC pension fund is higher than that of DB pension fund in recent 10 years, and the proportion of DC pension fund is increasing day by day. Therefore, this paper discusses the optimal asset allocation strategy of DC pension funds. There are a variety of factors affecting the total wealth of pension funds. Based on the stochastic volatility model of investment risk assets of pension funds and the dynamic evolution of population, this paper constructs the best asset allocation framework of DC pension funds. On this basis, the Legendre transformation of stochastic optimal control theory and the dual theory are used to solve the optimal asset allocation framework of the fund, and the dynamic differential equations of the optimal investment share and the total wealth of the pension fund are obtained. Then the evolution law of the optimal asset allocation strategy is discussed by using the numerical analysis method from the different factors that affect the optimal investment share. The specific rules are as follows: the best investment share of pension fund and the total wealth of pension fund show the same trend of increase first and then decrease; As the life expectancy of the population increases further, DC pension funds reduce their share of investment in risky assets in order to meet the increasing payment pressure in order to maintain the liquidity of the funds; The liquidity requirements of the fund are also reduced by the delay in the legal retirement age, when the fund can increase its investment share in risky assets, and the risk aversion of pension fund participants is further deepened. The optimal investment share of risky assets should be reduced to maintain the relative stability of the total wealth value of the fund. Finally, the paper summarizes the research on the optimal asset allocation strategy of DC pension fund, and combs the potential direction in the future.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F842.67

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