企业年金基金资产结构动态优化研究——基于DCC-GARCH-CVaR模型

A Study on Asset Structure Dynamic Optimization of Occupational Pension Funds:Based on DCC- GARCH- CVaR Model

资本市场震荡加剧背景下,如何通过资产结构动态调整来增强基金的保值增值能力,是我国企业年金基金投资运营管理中亟需解决的现实技术问题。论文建立DCC-GARCH-CVaR模型刻画资产间动态相关关系和度量投资组合风险,以投资组合风险最小化为目标函数,以期望收益满足最低保证要求为主要约束条件,构建企业年金基金资产结构动态调整模型。结果表明,企业年金基金最优资产结构具有一定的时变特征;资产配置最优权重是各类资产收益风险关系的权衡;资产结构的动态化与多元化是企业年金基金提升保值增值能力的必然选择。

In an increasingly volatile capital market, how to achieve value appreciation and preservation of occupa- tional pension funds by dynamically adjusting the asset structure is a pressing technical issue to be solved in the op- erational management of China＇ s occupational pension funds. This paper established the DCC-GARCH-CVaR model to characterize the dynamic relationship between various financial assets and to measure the portfolio risk. It took the minimized portfolio risk as the objective function, and assumed meeting the expectation of a guaranteed minimum re- turn requirement as the major constraint, and then built the dynamic asset structure adjustment model. The results showed that the optimal asset structure of occupational pension funds had a certain time-varying characteristics;the optimal allocation weight was based on the return-risk balancing of various types of assets;dynamic and diversified asset structure was the inevitable choices for enhancing value appreciation and preservation of occupational pension funds.