本文選題：分級基金　切入點：企業(yè)年金　出處：《上海師范大學》2012年碩士論文　論文類型：學位論文

【摘要】：從廣義上說,基金是指為了某種目的而設(shè)立的具有一定數(shù)量的資金。隨著中國金融市場的發(fā)展,紛繁多樣的基金產(chǎn)品日新月異,從結(jié)構(gòu)上看,除了傳統(tǒng)的開放式基金,封閉式基金,交易所交易基金(ETF)和上市型開放式基金(LOF)外,我國從2007年起引入了帶杠桿作用的分級基金.從資金來源上看,除了人們所熟知的信托投資基金,公積金,退休金,保險基金和養(yǎng)老金外,我國自2004年起實行了《企業(yè)年金試行辦法》.這些新型的基金品種成了本課題的研究來源. 本課題所研究的分級基金,企業(yè)年金都是當今社會比較熱門的新型基金品種,它們的定價是否合理,投資策略是否恰當對于整個社會而言都有十分重大的意義. 本文首先在第一章對分級基金和企業(yè)年金的概念做了簡單概述,并綜合梳理前人的研究成果以及本文想要解決的問題.第二章介紹了本文需要用到的基本概念和理論. 第三章研究了我國市場上一類指數(shù)型分級基金的定價問題.利用無套利原理,對銀華深證100指數(shù)分級基金建立了數(shù)學模型,通過求解偏微分方程得到了顯式解,并從金融意義上分析了各個參數(shù)以及杠桿率對價格的影響.另外,對條款設(shè)計進行了合理性改進,在向下敲出邊界上引入計時器,從而加強了產(chǎn)品的投資保本性. 第四章在王曉芳等[15]文的基礎(chǔ)上提出了更為優(yōu)化合理的企業(yè)年金的最優(yōu)動態(tài)配置策略.將企業(yè)年金的目標資產(chǎn)量的設(shè)定與替代率掛鉤,同時把實際資產(chǎn)量與目標資產(chǎn)量的偏差作為成本函數(shù),考慮個人在整個繳納、支付過程中,以成本函數(shù)累計最小為最優(yōu)規(guī)劃來構(gòu)建最優(yōu)動態(tài)資產(chǎn)配置策略.最后在數(shù)值解的基礎(chǔ)上分析了不同群體不同參數(shù)設(shè)定對配置策略的影響. 第五章考慮將期權(quán)引入企業(yè)年金的投資證券池中.在第四章的基礎(chǔ)上建立含期權(quán)的企業(yè)年金最優(yōu)投資策略,同樣利用動態(tài)規(guī)劃原理建立HJB(Hamilton Jacobi Bellman)方程,并給出數(shù)值解法. 最后總結(jié)全文,提出了本文存在的不足與發(fā)展方向.
[Abstract]:Broadly speaking, a fund is a certain amount of funds set up for a certain purpose. With the development of China's financial market, a variety of fund products are changing with each passing day. From a structural point of view, in addition to the traditional open-end funds, In addition to closed-end funds, exchange-traded funds (ETFs) and listed open-end funds (LOFs), China has introduced leveraged classified funds since 2007. From the source of funds, in addition to the well-known trust and investment funds, provident funds and pensions, In addition to insurance funds and pensions, China has implemented the "pilot measures of Enterprise annuity" since 2004. These new types of funds have become the research source of this subject. Enterprise annuity is a hot new type of fund in the society. Whether the pricing is reasonable or not and whether the investment strategy is appropriate is of great significance to the whole society. In the first chapter, the concepts of classified fund and enterprise annuity are briefly summarized, and the previous research results and the problems to be solved in this paper are summarized. The second chapter introduces the basic concepts and theories that need to be used in this paper. In the third chapter, we study the pricing problem of a class of index graded funds in Chinese market. By using the no-arbitrage principle, we establish a mathematical model for the 100 index graded funds of Yinhua and Shenzhen Stock Exchange, and obtain the explicit solution by solving partial differential equations. It also analyzes the influence of various parameters and leverage ratio on price from the financial point of view. In addition, the reasonable design of terms is improved, and the timer is introduced into the down knock out boundary, so as to strengthen the nature of investment protection of the product. In chapter 4, on the basis of Wang Xiaofang et al. [15], the author puts forward a more reasonable optimal dynamic allocation strategy of enterprise annuity, which links the setting of target asset quantity of enterprise annuity to the substitution rate. At the same time, the deviation between the actual asset amount and the target asset amount is taken as a cost function, and the individual is considered in the whole process of payment and payment. The optimal dynamic asset allocation strategy is constructed with the cumulative minimum of cost function as the optimal programming. Finally, based on the numerical solution, the effects of different groups and different parameters on the allocation strategy are analyzed. In chapter 5, we consider introducing the option into the investment securities pool of enterprise annuity. On the basis of chapter 4, we establish the optimal investment strategy of the enterprise annuity with option. We also establish the HJB(Hamilton Jacobi Bellman equation by using the dynamic programming principle, and give the numerical solution. Finally, this paper summarizes the full text, and puts forward the shortcomings and development direction of this paper.
【學位授予單位】：上海師范大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F224;F832.5

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