我国保险资金运用中股票组合的风险特征研究  

Risk Feature Analysis on Stock Portfolio in Insurance Companies

作　　者：罗庆忠 杜金燕 

机构地区：[1]中国人寿保险(集团)公司博士后科研工作站,北京100035 [2]中国人寿资产管理有限公司,北京100032

出　　处：《保险研究》2007年第1期75-78,共4页Insurance Studies

摘　　要：利用现代组合理论和 CAPM 模型对2005年4月8日至2006年10月16日期间我国保险资金运用中股票组合的收益和风险特征进行分析。分析结果表明:保险股票组合分散化效果良好,组合投资大大降低了股票投资的风险;当累计权重达到30%时,保险股票组合总体风险进入稳定状态;保险资金股票投资采用了积极、主动的投资方式,获得了超额收益;保险股票组合总体上呈现低风险、高收益的特征。With modern portfolio thoery and CAPM theory, we made analysis on the investment yield and risk feature of stock portfolio of insurance companies from April 8, 2005 to October 16, 2006. Below is our findings： stock portfolio diversification will generate a good result for insurance companies as it sharply decreases the risks in stock investment; the overall risk for stock portfolio of insurance companies tends to be stable when the aggregate proportion of stock portfolio equals 30% ; if active investment is applied to stock investment in insurance companies, it will generate profits in excess; stock portfolio in insurance companies tends to be low risk with high yields.

关 键 词：保险资金运用 股票投资 股票组合 系统性风险 

分 类 号：F840.32[经济管理—保险]