本文關(guān)鍵詞： 基本養(yǎng)老保險(xiǎn)基金 投資組合保險(xiǎn)策略 資產(chǎn)配置　出處：《華東師范大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：養(yǎng)老保險(xiǎn)基金是支付給退休人員的退休金,用來(lái)保障退休人員的基本生活需求,它是由國(guó)家立法強(qiáng)制性征收的社會(huì)保險(xiǎn)費(fèi)用,是社會(huì)保障制度的重要組成部分。在我國(guó),養(yǎng)老保險(xiǎn)基金廣義上可分為三個(gè)部分:基本養(yǎng)老保險(xiǎn)基金,企業(yè)年金(補(bǔ)充養(yǎng)老保險(xiǎn))和個(gè)人商業(yè)性養(yǎng)老保險(xiǎn)基金。換句話說(shuō),伴隨著我國(guó)老齡化社會(huì)高峰的到來(lái),國(guó)家、企業(yè)、個(gè)人將共同承擔(dān)這些養(yǎng)老支出。本文接下來(lái)研究的養(yǎng)老保險(xiǎn)基金是指基本養(yǎng)老保險(xiǎn)基金。目前,養(yǎng)老基金面臨如投資渠道有限、回報(bào)率低等諸多挑戰(zhàn)。出于對(duì)養(yǎng)老金的安全考慮,國(guó)家規(guī)定除了預(yù)留少數(shù)幾個(gè)月的日常支出以外,基金的所有結(jié)余只可購(gòu)買國(guó)債或者銀行存款,但是這樣無(wú)法規(guī)避利率風(fēng)險(xiǎn)和通脹危機(jī)。為了應(yīng)對(duì)這一挑戰(zhàn),2015年8月國(guó)務(wù)院頒布了《基本養(yǎng)老保險(xiǎn)投資管理辦法》(簡(jiǎn)稱投資管理辦法),鼓勵(lì)多元化投資基金,然而,根據(jù)國(guó)家社保基金投資管理暫行辦法提供的社�；鸬慕�(jīng)驗(yàn),實(shí)施過(guò)程相對(duì)緩慢。與此同時(shí),允許投資股票市場(chǎng)的基金比例受到法規(guī)的嚴(yán)格限制�；攫B(yǎng)老保險(xiǎn)入市的配套政策出臺(tái)還需要些時(shí)間,很可能套用社會(huì)保障基金的模式,存在極大的不確定性。目前我國(guó)處于負(fù)利率時(shí)期,即使是在實(shí)際利率為正的時(shí)期,基本養(yǎng)老金所獲得的銀行利率和國(guó)債利率也屬于管制利率,往往低于同期市場(chǎng)利率,無(wú)法獲得合理的投資收益。整體養(yǎng)老金的保值增值受到嚴(yán)重挑戰(zhàn)。本文圍繞基本養(yǎng)老保險(xiǎn)基金投資配置策略,利用比較分析及實(shí)證分析等方法,對(duì)基本養(yǎng)老保險(xiǎn)投資的現(xiàn)狀進(jìn)行評(píng)估,分析總結(jié)了基金組合資產(chǎn)的風(fēng)險(xiǎn)與收益,并通過(guò)對(duì)投資組合保險(xiǎn)策略CPPI與TIPP在多頭時(shí)期,空頭時(shí)期,盤整時(shí)期的表現(xiàn)分析,在此基礎(chǔ)上,設(shè)計(jì)出一種基于TIPP策略優(yōu)化的ROC-TIPP投資組合保險(xiǎn)策略,并通過(guò)實(shí)證、效果檢驗(yàn)證明了其有效性,對(duì)我國(guó)基本養(yǎng)老保險(xiǎn)基金入市提出具體、有針對(duì)性的優(yōu)化投資組合策略,同時(shí)為企業(yè)年金、商業(yè)養(yǎng)老保險(xiǎn)等其他養(yǎng)老基金的投資管理提供參考依據(jù)。
[Abstract]:Pension insurance fund is the pension paid to retirees, which is used to protect the basic living needs of retirees. It is the compulsory collection of social insurance fees by national legislation. It is an important part of the social security system. In our country, the pension insurance fund can be divided into three parts in a broad sense: the basic pension insurance fund. Enterprise annuity (supplementary old-age insurance) and individual commercial endowment insurance fund. In other words, with the arrival of the peak aging society in China, the country, enterprises. Individuals will jointly bear these pension expenses. The pension insurance fund in this paper is the basic pension fund. At present, the pension fund is faced with limited investment channels. Challenges such as low returns. For pension security reasons, the state rules that all balances of the fund can only be purchased in treasury bonds or bank deposits, with the exception of a few months of regular spending. In order to meet this challenge, in August 2015, the State Council promulgated the "basic Pension Insurance Investment Management measures" (referred to as the investment management measures). Encourage diversification of investment funds, however, based on the experience of social security funds provided by the interim measures for the Investment Management of the National Social Security Fund, the implementation process is relatively slow... at the same time. The proportion of funds allowed to invest in the stock market is strictly limited by regulations. It will take some time for the basic old-age insurance to enter the market and will probably apply the model of social security funds. There is great uncertainty. At present, our country is in the period of negative interest rate, even when the real interest rate is positive, the bank interest rate and the national debt interest rate obtained by the basic pension also belong to the regulated interest rate. Often lower than the market interest rate in the same period, can not obtain a reasonable return on investment. The maintenance and appreciation of the overall pension is seriously challenged. This paper focuses on the investment allocation strategy of the basic pension fund. By means of comparative analysis and empirical analysis, this paper evaluates the present situation of the basic endowment insurance investment, and analyzes and summarizes the risk and income of the fund portfolio assets. And through the portfolio insurance strategy CPPI and TIPP in the long period, short period, consolidation period performance analysis, on this basis. This paper designs a ROC-TIPP portfolio insurance strategy based on TIPP strategy optimization, and proves its effectiveness by demonstration, effect test, and puts forward the concrete proposal for the entry of the basic pension insurance fund into the market in our country. It also provides reference for the investment management of other pension funds, such as enterprise annuity, commercial pension insurance and so on.
【學(xué)位授予單位】：華東師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F842.67

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