基于差异系数σ/μ的人寿保险公司最优投资组合方法

Application of Optimal Portfolio Selection Based on the Difference Coefficient σ/μ in Life Insurer's Investment

通过对我国人寿保险公司的投资现状和Markowitz模型在人寿保险公司投资研究中的适用性分析 ,并根据人寿保险公司的特点 ,优化了Markowitz模型的边界条件 ,并通过最大化组合的期望收益率和最小化差异系数σ/ μ ,对Markowitz模型进行改进 ,建立了人寿保险公司最优投资组合模型 ,并利用Lagrange参数法给出了人寿保险公司运用该模型进行最优投资组合决策的方法。

Based on the analysis of the applicability of Markowitz mean variance model in the study of life insurance investment, we improve the Markowitz model by optimizing the boundary condition of the model, maximizing the yield rate, minimizing the investement risk and minimizing the difference coefficient σ/μ . And then, we put forward a model for optimize life insurers investment portfolio. And than, we bring forward life insurers feasible portfolio decision making procedure by using Lagrange parameter method.