养老基金最低收益保证制度下的最优资产配置——来自中国1998-2008年数据的模拟分析
5713 
2808
财经研究 2008 年 第 34 卷第 09 期, 页码：113 - 122
摘要
参考文献
摘要
文章主要研究养老基金最低收益保证制度及其框架下的资产配置问题。利用鞅方法创新性地给出了最优资产配置策略,随后分析了最低收益保证制度对最优资产配置的影响。结果表明,外部机构的利润分享比例越大,保证额度越高,养老基金投资风险资产的比例越高,但随着时间的推移,其风险投资将逐步降低。最后,文章利用所得结论为我国设立最低收益保证制度提供了建议:即我国应设立相对额度的最低收益保证制度;应由政府部门或非盈利机构提供这种最低收益保证,且不宜采取利润分享原则;保证额度应适度,过高会导致养老基金的投资风险过高,而过低则达不到稳定退休者收入的效果。
[1]Boulier J F,Huang S,Taillard G.Optimal investment under stochastic interest rates:The case of a protected defined contribution pension fund.Insurance[J].Mathematicsand Economics 2001,28:173-189.
[2]Ibbotson R G,Kaplan P D.Does asset allocation policy explain 40,90,or 100 percentof performance?[J].Financial Analysts Journal,January/February,2000:26-33.
[3]Menoncin F.Optimal portfolio and background risk:An exact and an approximated so-lution.Insurance[J].Mathematics and Economics 2002,31:249-265.
[4]Battocchio P,Menoncin F,Scaillet O.Optimal asset allocation for pension funds undermortality risk during the accumulation and decumulation phases[R].FAME DiscussionPaper N,66,2003.
[5]Menoncin F,Scaillet O.Mortality risk and real optimal asset allocation for pensionfunds[R].FAME Research Paper N,101,September,2003.
[6]Cairns A J G,Blake D,Dowd K.Stochastic lifestyling:Optimal dynamic asset alloca-tion for defined contribution pension plans[J].Journal of Economic Dynamics and Con-trol,2006,30(5):843-877.
[7]Battocchio P,Menoncin F.Optimal pension management in a stochastic framework In-surance[J].Mathematics and Economics 2004,34:79-95.
[8]Deelstra G,Grasselli M,Koehl P F.Optimal investment strategies in the presence of aminimum guarantee Insurance[J].Mathematics and Economics 2003,33:189-207.
[9]Romaniuk K.The optimal asset allocation of the main types of pension funds:A unifiedframework[R].ESSEC Business School Working Paper,2007.
[10]Duffie J D.Dynamic asset pricing theory[M].Princeton University Press,Princeton,New Jersey,1996,2 edition.
[11]胡云超,常艳.创建风险共担的社保基金投资管理模式[N].中国证券报,2004-01-09.
[2]Ibbotson R G,Kaplan P D.Does asset allocation policy explain 40,90,or 100 percentof performance?[J].Financial Analysts Journal,January/February,2000:26-33.
[3]Menoncin F.Optimal portfolio and background risk:An exact and an approximated so-lution.Insurance[J].Mathematics and Economics 2002,31:249-265.
[4]Battocchio P,Menoncin F,Scaillet O.Optimal asset allocation for pension funds undermortality risk during the accumulation and decumulation phases[R].FAME DiscussionPaper N,66,2003.
[5]Menoncin F,Scaillet O.Mortality risk and real optimal asset allocation for pensionfunds[R].FAME Research Paper N,101,September,2003.
[6]Cairns A J G,Blake D,Dowd K.Stochastic lifestyling:Optimal dynamic asset alloca-tion for defined contribution pension plans[J].Journal of Economic Dynamics and Con-trol,2006,30(5):843-877.
[7]Battocchio P,Menoncin F.Optimal pension management in a stochastic framework In-surance[J].Mathematics and Economics 2004,34:79-95.
[8]Deelstra G,Grasselli M,Koehl P F.Optimal investment strategies in the presence of aminimum guarantee Insurance[J].Mathematics and Economics 2003,33:189-207.
[9]Romaniuk K.The optimal asset allocation of the main types of pension funds:A unifiedframework[R].ESSEC Business School Working Paper,2007.
[10]Duffie J D.Dynamic asset pricing theory[M].Princeton University Press,Princeton,New Jersey,1996,2 edition.
[11]胡云超,常艳.创建风险共担的社保基金投资管理模式[N].中国证券报,2004-01-09.
引用本文
刘富兵, 刘海龙, 周颖. 养老基金最低收益保证制度下的最优资产配置——来自中国1998-2008年数据的模拟分析[J]. 财经研究, 2008, 34(9): 113–122.
导出参考文献，格式为：
