基于无风险保障系数的养老基金投资组合模型研究

Research on Pension Fund Portfolio Model based on Risk-free Protection Coefficient

在不确定环境下,考虑养老保险基金投资安全性这一首要准则,本文利用不确定理论提出了无风险保障系数(RFPI)模型,该系数可度量在一定置信水平下无风险资产收益对避免投资组合面临的损失所提供的安全防护作用;通过建立基于无风险保障系数的不确定投资组合模型,为机构投资者研究投资组合提供了一种新的建模方法;通过算例分析归纳了养老保险基金投资组合的规律,并验证了模型的实用性和有效性。

In uncertain environment, with the consideration that safety is the primary criterion for pension fund, this paper builds up the risk -free protection index （RFPI） model based on uncertain theory. This index is able to evaluate the protection given by the return of risk - free asset when the portfolio happens to loss in certain confidence level. It provides a new modeling method for institutional investors by building uncertain portfolio model based on the risk - free protection index. At last, it summarizes the portfolio regulation of pension fund through the example analysis, and verifies the practicability and effectiveness of the proposed model.