《基于市场化运营的养老保险基金资产配置的研究》由会员分享，可在线阅读，更多相关《基于市场化运营的养老保险基金资产配置的研究（50页珍藏版）》请在金锄头文库上搜索。
1、The Study on Pension Funds AssetAllocation based on Market-OrientedOperationA Thesis Submitted to Chongqing Universityin Partial Fulfillment of the Requirement for theMasters Degree of EconomicsByZhou QiaoSupervised by Prof. Yulin LiuSpecialty: Industry EconomicCollege of Public Management ofChongqi
2、ng University, Chongqing, China.May 2021重庆大学硕士学位论文摘要中文摘要随着养老保险制度改革的进一步推进，统账结合制下养老保险基金资产配置效率的提高成为新时期亟需解决的重要议题。高通货膨胀，市场利率走低以及单一的投资渠道很大程度上限制了中国养老保险基金投资收益的提高，不利于制度的可持续开展。假设能够坚持公平与效率，平安与稳定原那么，稳步探索可持续开展的市场化运营模式，审慎拓宽养老保险基金的投资范围，将有助于提高养老保险基金的收益水平，因此本文将在人口老龄化以及通货膨胀居高不下的现实背景下，研究探讨市场化运营模式下我国养老保险基金的最优资产配置。本文首先对
3、国内外养老保险基金投资运营的相关文献进行了系统梳理。国外关于养老保险的研究始于对制度模式的探讨以及养老保障制度再分配效应的研究。随着制度的不断演进，过渡到对养老金投资运营管理的探索与研究。国内关于养老保险基金的研究首先是养老保险制度转轨过程中的制度选择问题；其次，是制度变迁过程中的基金缺口以及隐性债务研究；最后，是新时期对于养老保险基金投资运营管理问题的探讨。在研究的具体过程中，由于体制的差异，国内外研究方法与结果也存在差异，但是国内外关于养老保障问题的研究，目的都是制度的可持续开展以及社会的公平与效率。理论研究局部首先基于单指数市场模型对我国养老保险基金的市场化运营模式进行理论分析。结果显示
4、完全市场化运营模式下，资产持有率受通货膨胀以及资本市场利率的共同影响。局部市场化运营模式下，当通货膨胀率小于资本市场收益率时，无风险资产持有率同通货膨胀率反向变动。其次，利用 VaR 与 RAROC指标构建了风险调整后的均值-VaR 模型作为实证模拟的模型根底。实证局部利用模拟估值等方法，对不同市场化运营模式下的养老保险基金投资组合以及资产配置进行实证测算，并模拟了战略型资产配置方式的动态调整过程。结果显示：局部市场化条件下投资组合的 VaR 值均小于完全市场化模式，RAROC 大于完全市场化模式。同时，养老保险基金对风险资产的偏好程度也有所差异，更偏向于能够带来稳定收益的固定收益类资产，而对
5、股票资产表现出一定的谨慎原那么。最后，根据分析结果提出了相应的政策建议，在制定养老保险投资策略的过程中，明确的投资目标以及风险预测是养老保险基金资产配置的关键环节，应该逐步扩大养老保险基金的投资范围。加强与专业基金管理机构的合作，以提高自身养老保险基金投资运营的专业化水平，同时监管制度的完善以及投资运营管理I重庆大学硕士学位论文相关法律法规的制定将有助于投资风险的有效控制。关键词：养老保险基金，资产配置，风险价值，运营模式II中文摘要重庆大学硕士学位论文英文摘要ABSTRACTWith the further reform of the Pension System, how to impro
6、ve the assetsallocation efficiency of pension fund under Account Combined System has become theimportant issue to be resolved in the new era. Currently, Chinas Pension System facedwith several problems. Firstly, there is no effective policy guidance for the investmentoperations of pension fund. Seco
7、ndly, due to the strict policy restriction, the soleinvestment have restrained to increase the profit of pension fund.Thirdly,the highinflation would lead to the fund devaluation if the pension fund choose cash deposit asthe main investment. Therefore, these problems actually have no benefits for th
8、esustainable development of pension system. However,this situation could be improvedthrough making a sustainable investment management approach for the pension fundinvestment based on the principle of fairness and efficiency as well as safety andstability.Meanwhile,its not only necessary to study an
9、d explore the sustainableMarket-Oriented operation mode,but also expand the investment channel prudently sothat we could enhance the profits of pension fund.This paper will analyze the assetsallocation efficiency of Chinas Pension Fund based on the market oriented operationmode under the background
10、of serious aged tendency of polulation and high inflation.In the first place, this paper summarized the relevant domestic and abroadliteratures about investment operation of pension fund. Foreign researches on pensionsystem began to explore patterns and redistributive effects of the pension system,
11、withthe continuous evolution of the system, the transition to the exploration and research ofoperational management of the pension investment. Due to the particularity of ChinaEconomy, the study on pension system began with the institutional choice during thesystemic transfer. Then, focusing on the
12、problems about pension fund gap and implicitpension debts. At present the main study is about the discussion on pension fundinvestment operations management issues. Though there are some differences ofresearch method and results between domestic and abroad, the goal is to maintain thesocial equity a
13、nd pension system sustainable development.In the part of theoretical analysis, this paper analyze Chinas pension fundmarket-oriented operation model based on a single index market model . The resultsshowed that inflation and market interests rates have mainly influence on assets holdingrates under f
14、ull market-oriented operation model. Thus, under the lower part of theIII重庆大学硕士学位论文英文摘要market-oriented operation mode , when the inflation rate is less than the capital marketrates, inflation rates and assets holding rates change in reverse. Meanwhile, This paperwill analyze the optimal asset allocation of pension fund via the risk adjusted mean-VaRmodel based on the theory of RAROC(Risk Adjusted Return On Capital) and Value atRisk.Besides, this paper will study the different investment portfolio and dyna
