基于行业视角的我国养老金股票市场资产配置研究

Research on the Asset Allocation of Pension in Chinese Stock Market from the Perspective of Industry

2015年8月国务院印发的《基本养老保险基金投资管理办法》明确表示支持养老金投资股票、债券等资产,以提高养老金的投资收益率,解决养老金空账和收支不平衡等问题。但到目前为止,养老金投资的效果仍不尽如人意。为提高养老金的投资收益率,本文利用Black-Litterman模型,并在预期收益率的计算中嵌入GARCH模型,研究养老金在股票市场中各行业的投资比例。实证结果表明,该模型可以通过优化养老金投资于股票各行业的比例,在一定程度上降低养老金投资的风险,并提高其收益率,为我国养老金投资提供了新的方法和工具。

The Regulations on Investment Management of Basic Pension Insurance Fund issued by the State Council in August 2015 clearly expressed support for pension investment in stocks,bonds and other as⁃sets,in order to improve the rate of return on pension investment and solve the problems of pension empty ac⁃count and imbalance of income and expenditure.But so far,the effect of pension investment is still unsatisfac⁃tory.In order to improve the rate of return on pension investment,this paper uses Black-Litterman model and embedded GARCH model in the calculation of expected return to study the proportion of pension investment in various sectors of the stock market.The empirical results show that the model can reduce the risk of pen⁃sion investment to a certain extent by optimizing the proportion of pension investment in various sectors of the stock market and improve its yield,which provides a new investment method and tool for pension in China.