摘要
在论证了现有投资工具无法实现保值增值目的后,在均值-VaR模型中引入无风险资产,运用建立的模型计算出不同VaR水平的收益及收益率的变化率;进一步计算出社保基金的VaR取值范围及其转折点。认为股票和基金在投资组合中应占30%左右,而VaR=25%是投资组合风险控制上限的参考标准。
Having proven that the existing investing instruments can＇ t realize the objective of preserving and increasing the value, in the mean-VaR model with the introduction of risk-free assets, we can work out the change rate of different VaR levels of earnings; then we further calculate the value range and the turning point of social security funds for the VaR. It is considered that stock and fund should make up about 30 percent in the investment portfolio, while VaR = 25% is the reference standard of the ceiling of portfolio risk control.
出处
《广东商学院学报》
2008年第3期37-42,共6页
Journal of Guangdong University of Business Studies
基金
国家社会科学基金项目(07BRK009)
关键词
VAR
社保基金
投资组舍
VaR
the social security fund
portfolio
