基于资产负债管理的我国企业年金资产配置研究

Research on Asset Allocation of Enterprise Annuity Based on the Assets and Liabilities Management

从生命周期的角度看,企业年金资产是一个将收入在消费与投资(储蓄)之间进行分配,对投资(储蓄)在风险资产与无风险资产之间加以选择的两个层次的动态跨期最优化问题。长期投资中,许多资产的风险收益特征会发生显著变异。因此,建立一套适合企业年金长期投资的资产配置决策框架是一个极其迫切的实践问题。本文基于资产负债管理思想,在企业年金投资限制的框架内,充分考虑了养老金受益人的风险厌恶程度,给出了一个基于资产负债管理的企业年金资产配置最优化模型,并提出了提高企业年金投资管理效率的措施。

From the perspective of the life cycle,enterprise annuity assets is an income in consumption and investment（savings）,investment（savings）in risky assets and risk-free asset to choose between the two levels of dynamic cross period optimization problem.Long-term investment,many assets risk yield occur significantly.Therefore,to establish a set of suitable for enterprise annuity long-term investment asset-allocation decisions framework is an extremely urgent practice problems.Based on the assets and liabilities management in enterprise annuity,within the framework of investment restrictions,full consideration of the beneficiary＇s risk aversion pension,gives an asset and liability management based on the enterprise annuity asset allocation optimization model.The enterprise annuity and puts forward the optimal asset allocation suggestions.