本文關(guān)鍵詞：我國社�；鹜顿Y股市實證研究　出處：《吉林財經(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： 社會保障基金 全國社會保障基金理事會 特雷諾指數(shù) 夏普指數(shù) 資本資產(chǎn)定價模型 投資基金績效 謹(jǐn)慎人監(jiān)管模式

【摘要】：隨著我國社會保障制度的不斷改革和完善，社會保障基金的投資運(yùn)營狀況也越來越受到人們的關(guān)注。近年來，我國社保體系在改革過程中遺留的問題和不斷加劇的人口老齡化問題對我國社會保障基金的投資運(yùn)營造成了巨大的挑戰(zhàn)。社保基金給付不到位、使用不規(guī)范都給我國社會保障體系的發(fā)展帶來巨大的壓力。而世界性金融危機(jī)周期變短、通貨膨脹日益嚴(yán)重等問題也不容忽視，這些問題都會沖擊我國的社會保障制度，帶來破壞性的影響。如2007年美國次貸危機(jī)爆發(fā)，剛開始并沒有引起國際社會過大的關(guān)注。但是隨著影響的不斷擴(kuò)大，到2008年9月時，已經(jīng)引起國際范圍內(nèi)的經(jīng)濟(jì)動蕩。這次金融危機(jī)給我國社�；鸬耐顿Y帶來了巨大的負(fù)面影響，全國社�；鹱猿闪⑦\(yùn)營以來第一次出現(xiàn)虧損�？梢娒鎸θ找孀兓慕鹑诃h(huán)境，如何實現(xiàn)社�；鸬谋Ｖ翟鲋狄呀�(jīng)成為我國乃至全球各國亟需解決的問題。 全國社�；鹗俏覈闹匾獞�(zhàn)略儲備，它的建立主要是為了彌補(bǔ)人口老齡化嚴(yán)重時產(chǎn)生的養(yǎng)老金缺口。因而全國社�；鸬谋Ｖ翟鲋祮栴}關(guān)乎到我國經(jīng)濟(jì)能否健康發(fā)展和社會能否安定有序。所以，，全國社�；鹜顿Y股市是否能夠?qū)崿F(xiàn)保值增值為本文討論的重點。本文首先列舉出一些國際通用的基金績效評價模型，為后文對全國社保基金投資組合的績效測評提供理論基礎(chǔ)。繼而討論我國目前社會保障基金的各個組成部分的詳細(xì)情況，對未能進(jìn)入資本市場的社�；疬M(jìn)行描述分析。在分析社會保障基金各組成部分時，著重指出全國社�；馂楸疚难芯康闹攸c。之后就全國社�；鹜顿Y股市的情況展開具體論述。本文后兩章用風(fēng)險與收益評價模型對全國社�；鸶魍顿Y組合的收益率進(jìn)行評價，并且得出全國社�；鹜顿Y股市存在的一些問題，繼而給出相應(yīng)的意見。本文的研究有利于全國社會保障基金投資績效評價理論的完善和發(fā)展。 本文主要應(yīng)用了反映基金業(yè)績與風(fēng)險的指數(shù)模型對全國社�；鹜顿Y股市的風(fēng)險和收益特征進(jìn)行推導(dǎo)。用實際數(shù)據(jù)反映全國社�；鹬饕M合持股集中度、持股行業(yè)分布等情況，可以從側(cè)面反映全國社保基金管理人的風(fēng)險控制能力。本次研究既是對投資組合績效評價理論的豐富與發(fā)展，也是對全國社會保障基金股票投資組合業(yè)績的理論檢驗。
[Abstract]:With the continuous reform and improvement of our social security system, the investment and operation of social security fund has been paid more and more attention in recent years. The problems left over in the reform of social security system in China and the increasing problem of population aging have posed a great challenge to the investment and operation of the social security fund in China, and the payment of the social security fund is not in place. The use of non-standard has brought great pressure to the development of social security system in China. However, the period of the world financial crisis has become shorter and the inflation has become more and more serious and other problems can not be ignored. These problems will impact our social security system and bring destructive effects, such as the outbreak of the subprime mortgage crisis in 2007 in the United States. At first it didn't get too much attention from the international community. But as the impact continued to grow, by September 2008. This financial crisis has brought huge negative impact to the investment of social security fund in our country. The National Social Security Fund has lost money for the first time since its establishment and operation. It can be seen that in the face of the ever-changing financial environment, how to maintain and increase the value of social security funds has become a problem that needs to be solved in our country and even in all countries all over the world. The National Social Security Fund is an important strategic reserve in China. Its establishment is mainly to make up for the pension gap caused by the serious aging of the population. Therefore, the maintenance and appreciation of the National Social Security Fund is related to the healthy development of our economy and the stability and order of the society. Whether the national social security fund investment stock market can maintain and increase value is the focus of this paper. Firstly, this paper enumerates some international fund performance evaluation models. It provides a theoretical basis for the performance evaluation of the investment portfolio of the National Social Security Fund, and then discusses the details of the various components of the current social security fund in China. The social security fund that cannot enter the capital market is described and analyzed. It is pointed out emphatically that the National Social Security Fund is the focal point of this paper. Then the paper discusses the investment situation of the National Social Security Fund in the stock market in detail. The last two chapters use the risk and income evaluation model to analyze the investment of the National Social Security Fund in different portfolios of the National Social Security Fund. The rate of return is evaluated. Some problems existing in the investment of the National Social Security Fund in the stock market are obtained and the corresponding opinions are given. The research in this paper is conducive to the improvement and development of the theory of performance evaluation of the investment of the National Social Security Fund. This paper mainly uses the index model which reflects the performance and risk of the fund to deduce the risk and income characteristics of the national social security fund investment stock market and use the actual data to reflect the concentration degree of the main portfolio holding of the national social security fund. The distribution of shareholding industries can reflect the risk control ability of the national social security fund managers. This study is not only the enrichment and development of portfolio performance evaluation theory. It is also the theoretical test of the performance of the stock portfolio of the National Social Security Fund.
【學(xué)位授予單位】：吉林財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.48;F224

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