B-L模型的保险资金投资多元化问题研究——从行为投资组合角度  

Study on Diverified Insurance Investment——Based on B-L Model

作　　者：孟勇[1] 

机构地区：[1]山西财经大学统计学院,山西太原030006

出　　处：《保险研究》2011年第8期52-56,共5页Insurance Studies

摘　　要：保险资金应用是我国保险行业发展的新亮点,但是在投资中存在着投资行为不合理的问题,这严重制约着我国保险业的健康发展。经分析认为目前投资模式不当的主要问题是资产组合方法有缺陷,认为在构建资产组合时应该考虑投资人的非理性,从行为金融学角度构建了保险投资模型,在模型中加入了投资人的主观观点,这样使投资模式更趋合理。本文利用B lack Litterman模型进行实证,并且在模型中考虑保险赔付的约束,实证结果支持了加入投资者观念的投资组合更趋合理的结论。Insurance fund investment is the new highlight for the insurance sector, but is inflicted with the problem of irrational investment activities. This phenomenon negatively affects the healthy development of the industry in China. The article argued that currently the main problem was related to the method of building investment portfolio.It held the opinion that in building up the portfolio, we should take into consideration the irrationality of investors, therefore construct the investment model from the perspective of behavioral finance by adding investors＇ subjective viewpoints into the model. The article made a demonstration by applying the Black-Litterman model, in which added constraints of insurance claim payment. It showed that the portfolio that had incorporated investor views was more reasonable than the others.

关 键 词：保险资金 资产组合 BLACK-LITTERMAN模型 

分 类 号：F840.32[经济管理—保险]