基于鲁棒优化的保险资金投资组合模型

Insurance fund portfolio model based on robust optimization

在均值-方差模型基础上,根据保险公司当前所处的监管环境,增加了保险资金投资各项资产具有金额限制的约束条件,建立了保险资金投资组合模型.另外考虑到此模型对收益率等参数的敏感性,提出用鲁棒优化解决参数不确定问题,构建了基于鲁棒优化的保险资金投资组合模型.然后通过市场数据分别对2个模型进行实证研究,并比较实证结果 .可知保险资金投资组合的鲁棒优化模型比均值方差模型更加保守,即预期收益率相同时所承受风险较小.

This paper establishes an insurance fund portfolio model based on the mean variance model.It increases the restriction that insurance funds invest in various assets with amount restrictions,which is regulated according to the insurance company. In addition,this paper construct an insurance fund portfolio model based on robust optimization to solve the parameter sensitivity problem of the original model. Then,this paper do empirical research on the two models with market data and compare the results. It is concluded that the robust optimization model of insurance fund portfolio is more conservative than the mean variance model,that is,the risk is less when the expected rate of return is the same.