风险最小化视角的我国城镇职工基本养老金投资组合研究——基于Markowitz投资组合理论

The Research on Basic Pension Portfolio of Urban Workers in China Based on the Risk Minimization——Based on Markowitz Portfolio Theory

我国城镇职工基本养老金个人账户缺口巨大和社会统筹账户累计余额巨大,其运营管理面临谨慎安全和保值增值的两难选择。基于风险最小化和达到预期收益率要求,运用拓展的Markowitz模型实证我国城镇职工基本养老金在不同预期收益率的最优金融资产投资组合,并以6%的目标收益率测算我国城镇职工基本养老金在股票、债券和银行存款的资产配置比例及政策建议。

There exists a huge gap in personal accounts and large accumulated balances in Social pooling accounts of urban workers' basic pension in our country,its faces with dilemma between prudent and safety anti hedging and appreciation in operating and management.Based on the risk minimization and approaching the expected yield,it uses extended Markowitz model to empirically conclude that the optimal Financial property portfolio in different expected yield of basic pension.Besides,with the 6% expected yield,it measures the disposal ratio of investment in stock,bonds and deposit and puts forward that we should further expand the proportion of pension to invest in stocks.