本文選題：支付固定型養(yǎng)老基金 + 資產(chǎn)配置��； 參考：《天津財經(jīng)大學(xué)》2016年碩士論文

【摘要】：《中國養(yǎng)老金發(fā)展報告2015》報告數(shù)據(jù)顯示,不考慮財政補貼收入的情景下,全國城鎮(zhèn)職工養(yǎng)老保險基金在2014年當(dāng)期已經(jīng)出現(xiàn)了高達-1321.09億元的赤字額。老齡化社會在當(dāng)下已成為社會發(fā)展的不可逆產(chǎn)物,中國自20世紀末初次邁入老齡化社會形態(tài),這一社會形態(tài)在將來的長時期內(nèi)仍將延續(xù)。這就意味著社會保障體系將迎來巨大的挑戰(zhàn),養(yǎng)老基金也將面臨罕見的支付能力。鑒于此情景,加強對養(yǎng)老基金日常的運營管理,提升基金所管理財富的投資收益以此緩解老齡化下養(yǎng)老基金的支付壓力便成為了一個亟待解決的課題。為了應(yīng)對老齡化帶來的養(yǎng)老基金支付危機,近10年來DC型養(yǎng)老基金的年復(fù)合增長速率高于DB型養(yǎng)老基金,且DC型養(yǎng)老基金所占的比重日益提升。因此文章探討DC型養(yǎng)老基金的最優(yōu)資產(chǎn)配置策略問題。影響?zhàn)B老基金財富總額的因子多種多樣,文章從養(yǎng)老基金投資風(fēng)險資產(chǎn)的隨機波動模型以及人口的動態(tài)演化歷程出發(fā),構(gòu)建了 DC型養(yǎng)老基金的最佳資產(chǎn)配置框架。在此基礎(chǔ)之上,本文采用隨機最優(yōu)控制理論的Legendre轉(zhuǎn)換以及對偶理論對基金的最佳資產(chǎn)配置框架求解,獲得了最佳投資份額以及養(yǎng)老基金財富總額的動態(tài)變化微分方程。之后采用數(shù)值分析的方法從影響最優(yōu)投資份額的不同因子來探討最優(yōu)資產(chǎn)配置策略的演化規(guī)律,具體規(guī)律如下:養(yǎng)老基金最佳投資份額和養(yǎng)老基金的財富總額呈現(xiàn)相同的先增加后減少變化趨勢;隨著人口預(yù)期壽命的進一步提升,DC型養(yǎng)老基金為滿足日益增加的支付壓力而削減對風(fēng)險資產(chǎn)的投資份額以保持基金的流動性;延遲法定退休年齡對基金的流動性要求亦隨之削減,此時基金可以提升對風(fēng)險資產(chǎn)的投資份額;養(yǎng)老基金的參與者對風(fēng)險的厭惡進一步加深,應(yīng)該降低風(fēng)險資產(chǎn)的最佳投資份額以維持基金財富總額價值的相對穩(wěn)定。最后對文章中DC型養(yǎng)老基金最優(yōu)資產(chǎn)配置策略的探討研究進行歸納總結(jié),同時對未來潛在的方向進行梳理。
[Abstract]:Data from the China Pension Development report 2015 show that the national pension insurance fund for urban workers had a deficit of-132.109 billion yuan in the current period of 2014, without taking into account the income from financial subsidies. The aging society has become an irreversible product of social development at present. China has entered the aging society for the first time since the end of the 20th century, and this social formation will continue in a long period in the future. This means that the social security system will face a huge challenge, pension funds will face rare ability to pay. In view of this situation, strengthening the daily operation and management of pension funds and enhancing the investment income of the wealth managed by the funds to alleviate the pressure of payment of pension funds under the aging has become an urgent task to be solved. In order to cope with the pension fund payment crisis brought by aging, the annual compound growth rate of DC pension fund is higher than that of DB pension fund in recent 10 years, and the proportion of DC pension fund is increasing day by day. Therefore, this paper discusses the optimal asset allocation strategy of DC pension funds. There are a variety of factors affecting the total wealth of pension funds. Based on the stochastic volatility model of investment risk assets of pension funds and the dynamic evolution of population, this paper constructs the best asset allocation framework of DC pension funds. On this basis, the Legendre transformation of stochastic optimal control theory and the dual theory are used to solve the optimal asset allocation framework of the fund, and the dynamic differential equations of the optimal investment share and the total wealth of the pension fund are obtained. Then the evolution law of the optimal asset allocation strategy is discussed by using the numerical analysis method from the different factors that affect the optimal investment share. The specific rules are as follows: the best investment share of pension fund and the total wealth of pension fund show the same trend of increase first and then decrease; As the life expectancy of the population increases further, DC pension funds reduce their share of investment in risky assets in order to meet the increasing payment pressure in order to maintain the liquidity of the funds; The liquidity requirements of the fund are also reduced by the delay in the legal retirement age, when the fund can increase its investment share in risky assets, and the risk aversion of pension fund participants is further deepened. The optimal investment share of risky assets should be reduced to maintain the relative stability of the total wealth value of the fund. Finally, the paper summarizes the research on the optimal asset allocation strategy of DC pension fund, and combs the potential direction in the future.
【學(xué)位授予單位】：天津財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2016
【分類號】：F842.67

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