摘要
文章主要研究养老基金最低收益保证制度及其框架下的资产配置问题。利用鞅方法创新性地给出了最优资产配置策略,随后分析了最低收益保证制度对最优资产配置的影响。结果表明,外部机构的利润分享比例越大,保证额度越高,养老基金投资风险资产的比例越高,但随着时间的推移,其风险投资将逐步降低。最后,文章利用所得结论为我国设立最低收益保证制度提供了建议:即我国应设立相对额度的最低收益保证制度;应由政府部门或非盈利机构提供这种最低收益保证,且不宜采取利润分享原则;保证额度应适度,过高会导致养老基金的投资风险过高,而过低则达不到稳定退休者收入的效果。
The paper mainly studies the minimum return guarantee system of pension fund and the issue of asset allocation in this framework. Using martingale method, it gives a new way to provide the optimal asset allocation strategy and analyzes the effect of minimum return guarantee system on optimal asset allocation. The results show that higher the profit-sharing ratio of external institutions and larger the guarantee liability amount, larger the portion of pension fund invested in risk assets. And it also indicates that the amount of pension fund invested on risk assets will be reduced gradually. Finally, the paper gives suggestions on how to build up minimum return guarantee system in China, including setting up relative guarantee liability amount, letting governments or non-profit organizations provide minimum return guarantee and making adequate guarantee liability amount.
出处
《财经研究》
CSSCI
北大核心
2008年第9期112-121,共10页
Journal of Finance and Economics
基金
国家自然科学基金资助项目(70773076)
关键词
养老基金
资产配置
最低收益保证制度
鞅方法
pension fund
asset allocation
minimum return guarantee system
martingale method
