养老基金动态资产配置研究评述  

Review of Dynamic Asset Allocation of Pension Funds

作　　者：刘海龙[1] 

机构地区：[1]上海交通大学安泰经济与管理学院,上海200052

出　　处：《系统管理学报》2011年第1期1-9,共9页Journal of Systems & Management

基　　金：国家自然科学基金资助项目(70773076)

摘　　要：阐述了养老基金动态资产配置研究的背景及意义,分别对收益确定型养老基金、缴费确定型养老基金和两者相结合统一框架下的资产配置问题进行了详细的综述,结果表明,收益确定型养老基金资产配置研究主要集中在运用资产负责管理实现盈余最大化和缴费率风险与偿付能力风险最小化2个目标;缴费确定型养老基金资产配置的研究主要集中在风险控制和收益保证方面;两者相结合统一框架下的资产配置问题主要是体现了期权的思想,最后,提出了目前国内外研究存在的主要问题和未来可能的研究方向。First,we expound the background and meaning of dynamic asset allocation of pension funds,and then conduct a systematic review of the literature on the asset allocation of defined-benefit pension plans,defined-contribution pension plans and their combinations,respectively.Our results indicate that studies on the asset allocation of defined-benefit pension plans focus on how to maximize profit and minimize contribution risk and solvency risk via asset-liability management,that the literature on the asset allocation of defined-contribution pension plans concentrates on optimal risk control and benefit guarantee,and that most of the research on the asset allocation of the combinations of defined-benefit and defined-contribution pension plans manifests the notion of options.Finally,we point out the major limitations and deficiencies in current literature and suggest areas of future research which might be productive.

关 键 词：养老基金 收益确定型 缴费确定型 资产配置 

分 类 号：F830[经济管理—金融学]