本文關(guān)鍵詞： 養(yǎng)老保險基金 風(fēng)險測度方法 資產(chǎn)優(yōu)化組合　出處：《北京交通大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：隨著我國養(yǎng)老保險基金資產(chǎn)總額的擴大,金融市場日漸成熟,養(yǎng)老保險基金增值保值的投資目標(biāo)要求投資方式也日益多樣化。如何處理好養(yǎng)老保險基金投資的收益與風(fēng)險的關(guān)系已經(jīng)成為社會關(guān)注的重點和亟待解決的問題,應(yīng)用適當(dāng)?shù)娘L(fēng)險測度方式成為其合理預(yù)測投資風(fēng)險和收益的必要條件。 本論文從養(yǎng)老保險基金的概念界定及基礎(chǔ)理論入手,分析了養(yǎng)老保險基金的投資方式和投資風(fēng)險,并根據(jù)這些存在的風(fēng)險概述了在金融風(fēng)險管理理論發(fā)展過程中具有里程碑意義的重要模型,具體包括均值-方差模型、均值-風(fēng)險價值模型(VaR)模型、均值-條件風(fēng)險價值(CVaR)模型和均值-條件風(fēng)險跌幅(CDaR)模型,通過介紹其概念和性質(zhì),闡述了其各自作為風(fēng)險度量方法的優(yōu)缺點,并推導(dǎo)出了基于上述各種風(fēng)險度量方法的最優(yōu)投資組合優(yōu)化模型。 其次,在實證分析上,本文選取2011年度社保基金投資持股市值居前十位的股票作為樣本分別計算了其方差、VaR、CVaR和CDaR并進(jìn)行了比較,驗證了各種風(fēng)險度量方法的優(yōu)勢和局限性,通過國外相關(guān)使用方法的借鑒,初步探尋出CDaR方法是更加適合我國的風(fēng)險測度指標(biāo)。 隨后本文根據(jù)R.T Rockafellar和S.Uryasev的優(yōu)化算法構(gòu)造的以條件風(fēng)險跌幅(CDaR)度量風(fēng)險的投資組合的優(yōu)化模型,用Matlab科學(xué)計算軟件進(jìn)行了優(yōu)化計算,得到了該組合的最優(yōu)投資權(quán)重。 論文的最后一部分針對前文的論述及實證進(jìn)行了總結(jié),得出養(yǎng)老保險基金進(jìn)行多元化配置的風(fēng)險測度方式的選擇,并對我國養(yǎng)老保險基金投資及監(jiān)管提出了相關(guān)建議。
[Abstract]:With the expansion of the total assets of pension insurance funds in China, the financial market is becoming more and more mature. The investment target of the pension insurance fund to increase its value and maintain its value requires the diversification of the investment methods. How to deal with the relationship between the income and the risk of the investment of the pension insurance fund has become the focus of the society's attention and an urgent problem to be solved. It is necessary to apply appropriate risk measurement method to predict investment risk and income. Starting with the definition and basic theory of endowment insurance fund, this paper analyzes the investment mode and investment risk of pension insurance fund. According to these existing risks, the paper summarizes the important models with milestone significance in the development of financial risk management theory, including the mean-variance model, the mean-risk value model and the VaR model. The mean conditional risk value (Cvar) model and the mean conditional risk reduction model (CDaR) model are introduced, and their advantages and disadvantages as risk measurement methods are described by introducing their concepts and properties. The optimal portfolio optimization model based on the above risk measurement methods is derived. Secondly, in the empirical analysis, this paper selects the top ten stocks of social security fund investment holding market value as a sample to calculate the variance VaRV Cvar and CDaR, and verifies the advantages and limitations of various risk measurement methods. Through the reference of relevant methods abroad, this paper preliminarily finds out that CDaR method is a more suitable risk measure index for our country. Then, according to R. T Rockafellar and S. Uryasev's optimization algorithm, the optimal model of the portfolio measured by conditional risk reduction (CDA) is constructed, and the optimal investment weight of the portfolio is obtained by using the Matlab scientific calculation software. In the last part of the paper, the author summarizes the previous discussion and empirical analysis, and concludes the choice of risk measurement methods for the diversified allocation of pension insurance funds, and puts forward some relevant suggestions on the investment and supervision of pension funds in China.
【學(xué)位授予單位】：北京交通大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F842.6;F832.5;F224

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