發(fā)布時(shí)間：2018-03-22 03:12

  本文選題：企業(yè)年金　切入點(diǎn)：資產(chǎn)配置　出處：《中國(guó)海洋大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：在我國(guó)嚴(yán)峻的老齡化背景下,基本養(yǎng)老保險(xiǎn)面臨著巨大的保值增值壓力,單純依靠基本養(yǎng)老保險(xiǎn)實(shí)現(xiàn)我國(guó)養(yǎng)老金目標(biāo)替代率58.5%存在一定困難,與國(guó)際上公認(rèn)的70～80%的替代率有較大的差距。在此情形下,作為我國(guó)基本養(yǎng)老保險(xiǎn)的重要補(bǔ)充、多支柱養(yǎng)老保障體系的第二層次的企業(yè)年金,它的資金的名義以及實(shí)際安全受到社會(huì)各界的關(guān)注。因此,如何實(shí)現(xiàn)企業(yè)年金的保值增值,獲得安全合理長(zhǎng)期穩(wěn)定的投資收益率就變得至關(guān)重要。眾多學(xué)者的研究表明,資產(chǎn)配置在投資收益的取得上發(fā)揮著巨大的作用,因此明確企業(yè)年金的投資收益目標(biāo),確定企業(yè)年金的資產(chǎn)配置戰(zhàn)略,有著非常重要的現(xiàn)實(shí)意義。同時(shí),企業(yè)年金投資目標(biāo)實(shí)現(xiàn)的現(xiàn)實(shí)意義還體現(xiàn)在良好的投資收益率對(duì)于目前仍處于起步階段的企業(yè)年金的推廣能夠起到不可忽視的作用。 本文首先對(duì)企業(yè)年金資產(chǎn)配置的相關(guān)理論進(jìn)行了概述。根據(jù)我國(guó)企業(yè)年金的現(xiàn)行制度闡明了我國(guó)企業(yè)年金的定義；然后通過與各類投資基金對(duì)比得到企業(yè)年金在投資運(yùn)營(yíng)特點(diǎn),明確了企業(yè)年金的投資原則；還對(duì)資產(chǎn)配置理論進(jìn)行了梳理,總結(jié)了馬克維茨提出的資產(chǎn)配置所遵循的一般思路,在一定期望收益率下實(shí)現(xiàn)風(fēng)險(xiǎn)最小。隨后依據(jù)我國(guó)法律規(guī)定和借鑒國(guó)外先進(jìn)經(jīng)驗(yàn)的基礎(chǔ)上,分析了我國(guó)企業(yè)年金基金可以選取的投資渠道,有貨幣市場(chǎng),債券市場(chǎng),股票市場(chǎng),海外市場(chǎng)以及基礎(chǔ)設(shè)施建設(shè),并總結(jié)了各投資渠道的收益特點(diǎn)。然后介紹了下側(cè)風(fēng)險(xiǎn)度量的相關(guān)理論。闡明了什么是風(fēng)險(xiǎn)以及兩種下側(cè)風(fēng)險(xiǎn)度量方式,下偏距風(fēng)險(xiǎn)度量方法(LPM)與在險(xiǎn)價(jià)值風(fēng)險(xiǎn)度量方法(VaR)�？偨Y(jié)下偏距風(fēng)險(xiǎn)度量手段更適用于現(xiàn)實(shí)社會(huì)是由于人們對(duì)于風(fēng)險(xiǎn)的厭惡以及各種投資渠道的所獲收益率波動(dòng)并不符合正態(tài)分布,還有下偏距方法能夠充分利用投資收益分布的特點(diǎn)。最后進(jìn)行了實(shí)證檢驗(yàn)。根據(jù)年金理論估算了在一定安全要求之下合適的企業(yè)年金投資收益率,并嘗試對(duì)偏高的計(jì)算結(jié)果進(jìn)行合理化調(diào)整；隨后依據(jù)該收益率利用1階M-LPM模型對(duì)于我國(guó)現(xiàn)有法律規(guī)定框架下的投資渠道進(jìn)行了實(shí)證檢驗(yàn),并嘗試加入包括發(fā)達(dá)國(guó)家與發(fā)展中國(guó)家的海外市場(chǎng)投資以及國(guó)內(nèi)的基礎(chǔ)設(shè)施建設(shè)投資進(jìn)行模擬,并對(duì)結(jié)果進(jìn)行相關(guān)分析。 最終得出結(jié)論,一是企業(yè)年金作為養(yǎng)老保障基金不同于其他投資基金的地方在于企業(yè)年金是追求穩(wěn)定收益的長(zhǎng)期性投資基金。二是由于企業(yè)年金各種投資工具的收益分布特點(diǎn)以及養(yǎng)老基金自身的收益要求,下偏距風(fēng)險(xiǎn)模型(M-LPM)要優(yōu)于均值方差模型,優(yōu)于在險(xiǎn)價(jià)值。三是在對(duì)企業(yè)年金的目標(biāo)收益進(jìn)行計(jì)算時(shí)不能簡(jiǎn)單地將企業(yè)年金的安全標(biāo)準(zhǔn)等同于企業(yè)年金的目標(biāo)收益。四是未來應(yīng)對(duì)我國(guó)企業(yè)年金投資的監(jiān)管放寬,適當(dāng)增加股票的投資比例限制,因?yàn)樵诂F(xiàn)行企業(yè)年金投資監(jiān)管的規(guī)定下難以實(shí)現(xiàn)預(yù)期收益目標(biāo)；同時(shí)在當(dāng)前經(jīng)濟(jì)背景下,發(fā)達(dá)國(guó)家資本市場(chǎng)并不是良好的投資渠道,發(fā)展中國(guó)家可以通過適度投資；基礎(chǔ)設(shè)施建設(shè)投資在未來將是企業(yè)年金的重要投資工具。 本文可能的創(chuàng)新點(diǎn)有兩點(diǎn),一是根據(jù)目標(biāo)替代率逆推得到企業(yè)年金的目標(biāo)收益率。二是在進(jìn)行資產(chǎn)配置實(shí)證分析時(shí)引入基礎(chǔ)設(shè)施建設(shè)以及海外市場(chǎng)作為新的投資渠道。
[Abstract]:In the background of population aging in China under the severe, the basic old-age insurance is facing huge pressure to increase the value, relying solely on the realization of China's basic old-age insurance pension target substitute rate of 58.5% is difficult, and replace the internationally recognized 70 to 80% of the rate of a large gap. In this case, as an important supplement to the basic pension insurance in China, a multi pillar pension system of the second levels of the enterprise annuity funds, it's name and the actual security concerns of the community. Therefore, how to increase the value of occupational pension, obtain safe and reasonable long-term rate of return on investment is very important. Many studies show that asset allocation plays the huge role in the investment income on investment income goal so clear enterprise annuity, asset allocation strategy of enterprise annuity, is very important now At the same time, the practical significance of the realization of the investment objective of the annuity is also reflected in the good rate of return on investment, which can play a negligible role in the promotion of the enterprise annuity that is still in the initial stage.
Firstly, the related theories of enterprise annuity asset allocation was summarized. According to the current system of enterprise annuity in China illustrates the definition of enterprise annuity in China; and then through various investment funds compared to get the enterprise annuity in the operating characteristics of the investment, the investment principles of enterprise annuity; the asset allocation theories, summary the general idea of Markowitz asset allocation, the expected rate of return must minimize the risk. Then according to the basic law of our country and the advanced experience of foreign countries, analysis of China's enterprise annuity fund investment channels can be selected, a money market, bond market, stock market, overseas markets as well as the infrastructure construction, and summarizes the characteristics of the return of investment channels. And then introduced the related theory of downside risk measure. The author expounds what is the risk to And two kinds of downside risk measure, risk measurement deviation (LPM) and methods of measure of value at risk (VaR) risk. The offset measurement of risk is more suitable for the reality of society is owing to the risk aversion and the various investment channels the return volatility does not accord with normal distribution, and the offset method can make full use of characteristics of income distribution of investment. The last part is empirical test. According to the estimated annuity theory suitable for a certain safety requirements under the enterprise annuity investment rate of return, and try to calculate the high result in reasonable adjustment; then according to the rate of return by 1 order M-LPM model for China's existing laws and regulations under the framework of investment channels for the empirical test, and try to add including developed and developing countries to invest in overseas markets and domestic investment in infrastructure construction The simulation was performed and the results were analyzed.
The final conclusion is that an enterprise annuity as a pension fund investment fund is different from other places that the enterprise annuity is the pursuit of stable income of long-term investment funds. Two is because the income distribution of enterprise annuity investment tools and pension fund's own income requirements, M-LPM risk model (M-LPM) is better than the mean variance model that is better than the value at risk. The three is calculated on the objective of occupational pension benefits cannot simply be equated with the safety standards of the enterprise annuity annuity income. The four is to deal with future goals of China's enterprise annuity investment deregulation, increasing stock investment ratio limit, because the provisions of investment supervision in current enterprise annuity the difficult to achieve the expected return; at the same time in the current economic background, the capital market in developed countries is not a good investment channels, development China can invest moderately; investment in infrastructure construction will be an important investment tool for the enterprise annuity in the future.
There are two possible innovations in this paper. One is the target return rate of enterprise annuity based on the target replacement rate. The two is the introduction of infrastructure and overseas market as a new investment channel in the empirical analysis of asset allocation.

【學(xué)位授予單位】：中國(guó)海洋大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F842.629

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