我国社保基金资产优化配置研究  

Analysis of the Optimal Asset Allocation of China’s Social Security Fund

作　　者：孙健[1] 刘铮[1] 游桂云[2] 

机构地区：[1]对外经济贸易大学 [2]中国海洋大学

出　　处：《投资研究》2012年第8期154-160,共7页Review of Investment Studies

摘　　要：社保基金资产配置对于基金的收益和风险控制具有重要的作用,通过调整不同资产间的配置比例,可在有限风险的条件下追求最大收益。我国对社保基金资产配置规定了相应的比例限制,但随着市场的变化,配置比例的一成不变使其从收益及风险控制角度都非最优选择。本文通过马柯威茨均值-方差模型,对社保基金资产的优化配置进行实证研究,寻找最优的资产配置比例,为我国社保基金投资管理提供一定意义的参考。Asset allocation of social security fund plays an important role in the fund＇s income and risk control. Through adjust- ing the allocation ratio among the different assets, the fund can maximize returns under the condition of limited risk. China＇s social security fund asset allocation has been provided for the corresponding ratio limit, as the market changes, but the static proportion of configuration is non-optimal choice from the perspective of income and risk control. This paper studies the opti- mal allocation of social security fund by Markowitz mean-variance model in order to find the optimal asset allocation ratio for China＇s social security fund investment management.

关 键 词：社保基金 资产配置 马柯威茨均值-方差模型 

分 类 号：F842.6[经济管理—保险] F224