摘要
基于均值-CV aR模型,根据《企业年金试行办法》中对企业年金基金投资方面的规定,以货币市场工具、中长期国债和金融债、可转债及股票4类投资工具为约束条件,构建了企业年金基金投资的资产配置模型;根据我国金融市场和企业年金基金的具体情况,计算出不同企业年金替代率下,4类投资工具的最优资产配置比例和相应资产配置的风险度量指标——年收益率的CV aR值;并在资产回报率服从正态分布假设下,分析了最优资产配置比例的变化。
According to the regulation of the Trial Procedures for Occupational Pensions, this paper presents restraint terms of money market instrument, mid and long-term national debt, convert- ible bonds and stock based on Mean-CVaR Model and develops an asset allocation model for management of occupational pension fund. According to the concrete conditions of finance market and occupational pensions funds at home, we get the optimal asset allocation proportions of the four investment instruments and the corresponding risk measurement index-CVaR value of the annual return for different replacement ratio, and analyze the change of the optimal asset allocation proportions based on the assumption of return on assets follows normal distribution.
出处
《管理学报》
CSSCI
2009年第11期1518-1521,共4页
Chinese Journal of Management
基金
国家自然科学基金资助项目(70871022)
