资本市场增值效应对企业年金发展的影响分析——来自中国1991-2011年的经验证据  

Analysis of the Capital Market Value-added Effect on the Development of Private Pension :Evidence From China from 1991 to 2011

作　　者：牛海[1] 

机构地区：[1]上海理工大学社会科学学院,上海200093

出　　处：《南方金融》2013年第9期59-63,共5页South China Finance

基　　金：教育部人文社科基金项目<我国养老金制度分层设计与整合优化研究>(项目编号:12YJCZH158);上海市教委科研创新项目<我国企业年金制度定位与发展动力研究>(项目编号:12YS065);国家社科基金项目<中国养老金隐性债务偿付机制研究>(项目编号:08BJL024);上海理工大学人文社科基金项目(项目编号:11XSY03);上海理工大学攀登计划项目(项目编号:13XPB05)的资助

摘　　要：资本市场的增值效应是促进缴费型企业年金计划建立的重要原因,也是支撑计划持续运作的重要动力。针对我国企业年金基金增值难的问题,本文根据《企业年金基金管理办法》投资股市的相关规定,利用均值-方差资产组合理论,建立我国企业年金资产投资约束的均值-方差模型。通过模拟不同资产配置情况分析发现,我国资本市场在提高企业年金基金收益率的同时,风险却大幅增加。因此,若要利用资本市场促进企业年金计划的发展,必须加强资本市场规范化建设。Value-added effect in the capital market is an important cause of incentive CD pension plan established, it is also an importan support In drive farce for sustainable operation of pension plan. In view of difficult of China＇s private pension fired in Value-added, in this paper, the authors use the Marknwitz standard mean-variance portfolio theory to establish a mean-variance model ahout investment constraints of China＇s private pension, accnrding to the relevant provisions of management measures about private pension fired investment in the stock market. The resnhs of simulation analysis show that China＇s capital market has contributed to the improvement of return rate on pension fund, but the risk increases significantly with higher proportion. To lake advantages of the capital market to promole the developmenl of pension plan, it is necessary to strengthen the constrnction of capital market itself.

关 键 词：资本市场 企业年金 投资运营 基金增值 

分 类 号：F832.5[经济管理—金融学] F842.6F224