摘要
本文以固定缴费型企业年金为研究对象,将企业年金的投资范围概括为股票组合、债券组合两种类别,以《企业年金基金管理办法》的相关规定作为投资约束,基于连续时间下的凯利策略进行资产配置建模。通过对比传统的固定比例投资组合策略后发现,凯利资产配置策略能够适应企业年金的投资特点并有效提高企业年金的投资收益水平。
On the research of defined contribution enterprise annuity, this paper classifies the investment range into two categories, i.e. stock portfolio and Security portfolio and constructs models of asset allocation, taking the Management of Enterprise Annuity as investment restraint and Kelly strategy under continuous time. By comparing with the traditional investment portfolio strategy, the papers concludes that Kelly asset allocation strategy can satisfy the characteristics of enterprise annuity and effectively improve the investment return of the enterprise annuity.
出处
《保险职业学院学报》
2015年第3期5-9,共5页
Journal of Insurance Professional College
基金
湖南省社科基金(14YBB022)
关键词
企业年金
凯利准则
投资最优化
Enterprise annuity
Kelly criterion
Investment optimization
