本文選題：養(yǎng)老金 + 資產(chǎn)配置��； 參考：《宏觀經(jīng)濟(jì)研究》2011年10期

【摘要】：本文以2000年1月1日—2008年7月31日期間的股票市場數(shù)據(jù)、債券市場數(shù)據(jù)和貨幣市場數(shù)據(jù)為基礎(chǔ)編制股票收益率指數(shù)、債券收益率指數(shù)和現(xiàn)金資產(chǎn)收益率指數(shù),通過對(duì)上述三指數(shù)均值方差最優(yōu)化方法來實(shí)證分析中國養(yǎng)老基金的戰(zhàn)略資產(chǎn)配置問題。研究結(jié)果表明:中國養(yǎng)老基金需要配置30%左右的股票資產(chǎn)來提高長期收益水平,投資股票不僅可以抵御通貨膨脹對(duì)養(yǎng)老基金的侵蝕,還可以分散基金投資風(fēng)險(xiǎn)。建議社�；鸨O(jiān)管部門放寬對(duì)個(gè)人賬戶基金和企業(yè)年金的股票投資限制。
[Abstract]:Based on the stock market data, bond market data and money market data from January 1, 2000 to July 31, 2008, the index of stock yield, the index of bond yield and the index of return on cash assets are compiled in this paper. This paper empirically analyzes the strategic asset allocation of Chinese pension funds by using the above three index mean variance optimization methods. The results show that the Chinese pension funds need to allocate about 30% of the stock assets to improve the long-term income. Investing in stocks can not only resist the erosion of the pension fund caused by inflation, but also disperse the investment risk of the fund. It is suggested that social security fund regulators relax stock investment restrictions on personal account funds and enterprise annuities.
【作者單位】： 北京交通大學(xué)經(jīng)濟(jì)管理學(xué)院;全國社會(huì)保障基金理事會(huì)戰(zhàn)略與資產(chǎn)管理部;
【分類號(hào)】：F224;F832.51

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1 鄒德新,李栗;養(yǎng)老金收支均衡的實(shí)證研究[J];沈陽師范大學(xué)學(xué)報(bào)(社會(huì)科學(xué)版);2005年04期

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