本文選題：保險(xiǎn)類上市公司 + 投資組合��； 參考：《東北農(nóng)業(yè)大學(xué)》2013年碩士論文

【摘要】：承保業(yè)務(wù)和投資業(yè)務(wù)是公認(rèn)的保險(xiǎn)業(yè)發(fā)展的兩大支柱，承保利潤(rùn)和投資利潤(rùn)構(gòu)成了各保險(xiǎn)公司的主要利潤(rùn)來(lái)源。由于保險(xiǎn)行業(yè)內(nèi)部競(jìng)爭(zhēng)加劇，承保利潤(rùn)不斷下滑，只有有效、安全地運(yùn)作投資，才能保證保險(xiǎn)類公司持續(xù)穩(wěn)定增長(zhǎng)的業(yè)績(jī)。作為保險(xiǎn)業(yè)的重要支柱，正確地進(jìn)行投資組合保險(xiǎn)類的資金是保險(xiǎn)業(yè)發(fā)展和經(jīng)營(yíng)的重要策略。保險(xiǎn)類公司由費(fèi)用率的降低與投資收益率逐步提高的循環(huán)為保險(xiǎn)類公司的正常運(yùn)營(yíng)打了堅(jiān)實(shí)的基礎(chǔ)。隨著保險(xiǎn)業(yè)日漸成熟，保險(xiǎn)類業(yè)務(wù)發(fā)展的空間越來(lái)越有限，此時(shí)保險(xiǎn)類資金的投資差異所導(dǎo)致的收益率高低在保險(xiǎn)類公司中越來(lái)越顯出核心競(jìng)爭(zhēng)力作用。如何選擇最優(yōu)投資組合策略關(guān)系到投資的效率，已成為發(fā)展投資業(yè)務(wù)的關(guān)鍵，尤其是針對(duì)發(fā)展相對(duì)成功的保險(xiǎn)類上市公司，投資業(yè)務(wù)不僅關(guān)系到公司自身的經(jīng)營(yíng)成敗，更影響到保險(xiǎn)者和投資者的利益，優(yōu)化其投資組合策略刻不容緩�；诖吮疚倪x取保險(xiǎn)類上市公司為研究對(duì)象，結(jié)合我國(guó)實(shí)際情況研究最優(yōu)投資組合策略，具有重要意義。 本文的目的是研究我國(guó)保險(xiǎn)類上市公司的最優(yōu)投資組合策略，為保險(xiǎn)類上市公司選擇最優(yōu)投資組合策略提供方法指導(dǎo)，促進(jìn)我國(guó)保險(xiǎn)類上市公司的健康發(fā)展。本文由以下幾方面組成：第一部分首先介紹本文的背景、目的和意義；然后對(duì)國(guó)內(nèi)外文獻(xiàn)進(jìn)行系統(tǒng)地研究；最后介紹本文的主要內(nèi)容和研究方法。第二部分對(duì)相關(guān)概念和理論基礎(chǔ)進(jìn)行了介紹，分別介紹了保險(xiǎn)資金、保險(xiǎn)投資、投資組合策略等相關(guān)概念和投資組合理論、資本資產(chǎn)定價(jià)模型、資產(chǎn)負(fù)債管理理論。第三部分通過官方數(shù)據(jù)研究分析我國(guó)保險(xiǎn)類上市公司投資組合策略現(xiàn)狀，總結(jié)出保險(xiǎn)類上市公司投資組合策略中存在問題，包括資產(chǎn)負(fù)債匹配不合理、投資組合策略管理水平有待提高、投資組合策略效率偏低。第四部分對(duì)保險(xiǎn)類上市公司最優(yōu)投資組合策略進(jìn)行實(shí)證分析。在Markowitz模型基礎(chǔ)上構(gòu)建保險(xiǎn)類上市公司最優(yōu)投資組合策略模型，根據(jù)收取保險(xiǎn)資金的總體收益目標(biāo)以及各資金性質(zhì)對(duì)資產(chǎn)進(jìn)行配置，并選擇銀行存款、債券、股票和證券投資基金組成了投資組合，在我國(guó)政策許可和市場(chǎng)條件的限制下，運(yùn)用構(gòu)建的最優(yōu)投資組合策略模型，對(duì)實(shí)際情況進(jìn)行數(shù)量化研究，計(jì)算有效投資組合，，得出合理的資產(chǎn)配置比例，使投資組合在實(shí)現(xiàn)收益目標(biāo)的同時(shí)達(dá)到風(fēng)險(xiǎn)最小化的策略。本文選取2007年-2011年我國(guó)所有保險(xiǎn)類上市公司的公開數(shù)據(jù)展開研究，通過橫向與縱向兩方面對(duì)實(shí)際投資策略比例與計(jì)算得出的理論投資策略比例進(jìn)行全方位地比較分析，形成保險(xiǎn)類上市公司投資組合策略最優(yōu)化的實(shí)證分析結(jié)果。第五部分保險(xiǎn)類上市公司投資組合策略的優(yōu)化，提出完善資產(chǎn)負(fù)債匹配管理、建立投資組合策略專業(yè)化管理機(jī)制、提高投資組合策略增值能力三點(diǎn)優(yōu)化對(duì)策，以促進(jìn)保險(xiǎn)類上市公司得出最優(yōu)投資組合策略。第六部分針對(duì)上述研究得出結(jié)論。
[Abstract]:The underwriting and investment business are the two pillars of the recognized insurance industry. The insured profits and the investment profits constitute the main source of profit for the insurance companies. As the internal competition of the insurance industry is aggravated and the underwriting profit is declining, only the effective and safe operation of investment can ensure the sustained and stable growth of the insurance companies. As an important pillar of the insurance industry, it is an important strategy for the development and management of the insurance industry to properly carry out the funds of the portfolio insurance category. The insurance company has laid a solid foundation for the normal operation of the insurance companies from the reduction of the cost rate and the gradual increase in the rate of return on investment. With the maturity of the insurance industry, the insurance business has developed. There is more and more limited space. At this time, the rate of income caused by the investment difference of insurance funds is becoming more and more important in the insurance company. How to choose the optimal portfolio strategy to relate the efficiency of investment has become the key to the development of investment business, especially for the relatively successful insurance listed companies. Investment business not only affects the success or failure of the company itself, but also affects the interests of the insurers and investors, and it is urgent to optimize its portfolio strategy. Based on this article, it is of great significance to select the insurance listed companies as the research object and to study the optimal portfolio strategy in combination with the actual situation of our country.
The purpose of this paper is to study the optimal portfolio strategy of China's Insurance listed companies, to provide guidance for the selection of the optimal portfolio strategy for the listed insurance companies and to promote the healthy development of the listed insurance companies in China. This article is composed of the following aspects: the first part first introduces the background, purpose and significance of this article; The literature at home and abroad is systematically studied. Finally, the main contents and research methods of this article are introduced. The second part introduces related concepts and theoretical foundations, and introduces the related concepts and portfolio theories, the capital asset pricing model, the asset liability management theory, and the theory of asset and liability management. The three part analyzes the current situation of the portfolio strategy of China's Insurance Listed Companies through the official data, summarizes the existing problems in the portfolio strategy of the insurance listed companies, including the irrational matching of assets and liabilities, the management level of the portfolio strategy and the low efficiency of the portfolio strategy. The fourth part is on the insurance listed companies. On the basis of the Markowitz model, the optimal portfolio strategy model of the listed insurance company is constructed. The portfolio is composed of bank deposits, bonds, stock and securities investment funds, which are composed of bank deposits, bonds, stocks and securities investment funds. Under the restriction of China's policy licensing and market conditions, we use the optimal portfolio strategy model constructed to carry out quantitative research on the actual situation, calculate the effective portfolio, draw a reasonable proportion of asset allocation and make the portfolio achieve the risk minimization at the same time to achieve the goal of income. This paper selects China in 2007 -2011. The public data of all insurance listed companies are studied, and the proportion of the actual investment strategy ratio and the calculated theoretical investment strategy ratio are compared comprehensively through the horizontal and vertical two parties, and the empirical analysis results are formed for the optimization of the portfolio strategy of the insurance listed companies. The fifth part of the listed insurance listed companies is invested. The optimization of the portfolio strategy proposes to perfect the asset liability matching management, establish the specialized management mechanism of the portfolio strategy and improve the three point optimization strategy of the investment portfolio strategy, in order to promote the insurance listed companies to get the optimal portfolio strategy. The sixth part draws the conclusion of the previous research.

【學(xué)位授予單位】：東北農(nóng)業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F275;F842.3

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