本文關(guān)鍵詞：中國(guó)主權(quán)養(yǎng)老基金資產(chǎn)配置研究　出處：《天津財(cái)經(jīng)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 養(yǎng)老金赤字 外匯儲(chǔ)備 主權(quán)養(yǎng)老基金 資產(chǎn)配置 M-V模型

【摘要】：隨著我國(guó)老齡化時(shí)代的到來,養(yǎng)老金支付的財(cái)政壓力日趨增強(qiáng)。雖然我國(guó)巨額的養(yǎng)老轉(zhuǎn)制隱性債務(wù)終將在未來幾十年內(nèi)逐漸消化掉,但養(yǎng)老金個(gè)人賬戶因長(zhǎng)壽風(fēng)險(xiǎn)而潛在的資金缺口將隨著“新人”的退休而逐漸顯現(xiàn)并將越來越大而且長(zhǎng)期存在。 文章從研究我國(guó)老齡化現(xiàn)狀、養(yǎng)老金制度缺陷以及我國(guó)外匯儲(chǔ)備盈利性不足等方面入手,指出了在我國(guó)建立外儲(chǔ)型主權(quán)養(yǎng)老基金的必要性和可行性；對(duì)挪威“全球養(yǎng)老基金”和俄羅斯“國(guó)家福利基金”進(jìn)行比較分析,提出我國(guó)可借鑒的經(jīng)驗(yàn)；提出我國(guó)應(yīng)該分流外匯儲(chǔ)備,建立主權(quán)養(yǎng)老基金,與社會(huì)保障基金、個(gè)人賬戶養(yǎng)老基金形成一個(gè)完整的養(yǎng)老體系,以應(yīng)對(duì)未來的養(yǎng)老金支付需求。 根據(jù)國(guó)外學(xué)者研究發(fā)現(xiàn),基金收益的95%可以由資產(chǎn)配置解釋,所以文章的重點(diǎn)是主權(quán)養(yǎng)老基金的資產(chǎn)配置。借鑒瑞銀機(jī)構(gòu)的研究報(bào)告,投資組合基于IMF特別提款權(quán)(SDR)中的貨幣權(quán)重,能更好地反映全球經(jīng)濟(jì)和貿(mào)易流的構(gòu)成。由此,投資地域的選擇可以選擇美國(guó)、歐洲、新興市場(chǎng)國(guó)家,資金分配比例可以是以SDR一籃子貨幣為基準(zhǔn)。利用M-V最優(yōu)化模型,選取了FTSE環(huán)球指數(shù)、美國(guó)國(guó)債、FTSE全球房地產(chǎn)指數(shù),對(duì)我國(guó)主權(quán)養(yǎng)老基金的資產(chǎn)配置實(shí)證分析。得出結(jié)論,主權(quán)養(yǎng)老基金可以在要投資目的地(如歐美)的基礎(chǔ)上,充分分享新興市場(chǎng)國(guó)家快速發(fā)展帶來的投資收益,在歐洲、美洲、新興市場(chǎng)國(guó)家的股票市場(chǎng)、債券市場(chǎng)、全球房地產(chǎn)市場(chǎng)、大宗商品等市場(chǎng)進(jìn)行靈活的資產(chǎn)配置。
[Abstract]:With the arrival of the aging era in China, the financial pressure of pension payment is increasing. Although the huge pension system recessive debt will be gradually digested in the coming decades. But the potential funding gap in individual pension accounts due to longevity risks will gradually become apparent as "new people" retire and will grow larger and longer term. Based on the study of the current situation of aging in China, the defects of the pension system and the insufficient profitability of China's foreign exchange reserves, this paper points out the necessity and feasibility of establishing the reserve sovereign pension fund in China. This paper makes a comparative analysis of Norway's "Global Pension Fund" and Russia's "National Welfare Fund", and puts forward some experiences that our country can learn from. It is suggested that China should divert foreign exchange reserves, establish sovereign pension funds, and form a complete pension system with social security funds and individual account pension funds in order to cope with future pension payment needs. According to the research of foreign scholars, the 95% of fund income can be explained by asset allocation, so the focus of this paper is the asset allocation of sovereign pension fund. The portfolio is based on the monetary weight of the IMF SDR, which better reflects the composition of the global economy and trade flows. In emerging market countries, the capital allocation ratio can be based on the SDR basket of currencies. Using M-V optimization model, the FTSE global index and the FTSE global real estate index are selected. Empirical analysis of asset allocation of sovereign pension funds in China. It is concluded that sovereign pension funds can be based on the investment destination (such as Europe and America). Fully share the investment gains from the rapid growth of emerging market countries in Europe, the Americas, emerging market stock markets, bond markets, the global real estate market. Commodities and other markets for flexible asset allocation.
【學(xué)位授予單位】：天津財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F842.6;F832.5

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