摘要
随着人口老龄化进程的加快和通货膨胀率的波动增长,养老基金保值增值越来越困难.在遵循安全性、盈利性和流动性原则的前提下,通过合理的投资组合提高养老基金的收益,是应对养老基金支付能力不足的有效手段.基于2000—2016年面板数据,利用均值—方差模型和资本资产价值模型对养老基金投资组合的预期收益率和风险进行测算和分析,并对基金多元化投资进行绩效评估.研究结果表明:多元化养老基金投资组合能够分散投资运营风险;风险资产投资比例越高,养老基金的组合收益率越高;选择较高收益的投资工具可以实现养老基金的较高投资回报率.
With the acceleration of aging population and the fluctuation of inflation rate,the pension fund is facing more and more severe appreciation pressure.On the premise of following the principles of security,profitability and liquidity,improving the income of pension fund through a reasonable portfolio is an effective means to cope with the insufficient capacity of the pension fund payment.Based on the data from 2000 to 2016,the expected return rate and risk of pension fund portfolio were calculated and analyzed by mean-variance model and capital asset value model,and the fund diversified investment was evaluated.Research results show that the diversified pension fund investment portfolio can disperse the risk of investment operation.The higher the proportion of venture capital investment,the higher the combined yield of the pension fund,and more emphasis on higher income of investment tool can achieve higher return of pension fund.
作者
王丽娜
WANG Lina(School of Management, Shanghai University of Engineering Science, Shanghai 201620, China)
出处
《上海工程技术大学学报》
CAS
2018年第1期86-90,共5页
Journal of Shanghai University of Engineering Science
基金
国家社会科学基金教育学青年课题"流动人口随迁子女教育政策评估及对策研究"资助项目(CGA150154)
关键词
养老基金
投资组合
均值—方差模型
风险控制
pension fund
investment portfolio
mean-variance model
risk management