养老基金战略性资产配置研究

Strategic Asset Allocation of Pension Fund

本文建立动态资产配置模型,研究我国养老保险基金在国内资本市场的战略性配置问题。模型紧盯通货膨胀率,将养老基金的投资收益率大于动态CPI值作为主要约束条件,同时反映政府主管部门关于养老保险基金投资比例的规定,进而动态导出最优资产配置。结果表明,运用该模型对我国养老基金资产进行配置,可以实现养老基金的保值增值;同时模型动态跟踪CPI值,可按月根据CPI值的变化及时调整资产的配置比例。CPI值波动时,资产动态配置比例随之变化;当CPI值较低时,投资低风险资产的比例较高;CPI值上升时,低风险资产的比例下降。

This paper proposes a dynamic asset allocation model for strategic asset allocation of China＇s pension fund in domestic capital market, for the purpose of pegging the inflation. In the model, one of the key constraints is that the realized return of pension fund should be not less than CPI. Meanwhile, the regulation of the proportions of every asset of pension fund issued by government is also taken into account. The results show that the pension fund can keep and enhanee its purchasing power according to the model and the positions of all assets can be dynamically adjusted based on changes of CPI per month. The weights of low-risk assets are higher than high-risk assets as the CPI is down-turn and lower than before with the rising of CPI.