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中国管理科学

中国管理科学 ›› 2010, Vol. 18 ›› Issue (5): 40-48.

• 论文 • 上一篇    下一篇

企业年金积累期的最优动态资产配置策略

翟永会1, 王晓芳2, 闫海峰3   

  1. 1. 西安交通大学经济与金融学院, 陕西 西安 710061;
    2. 华东师范大学国际金融与风险管理研究中心, 上海 200062;
    3. 南京财经大学金融学院, 江苏 南京 210046
  • 收稿日期:2009-03-26 修回日期:2010-08-29 出版日期:2010-10-30 发布日期:2010-10-30
  • 作者简介:王晓芳(1958- ),女(汉族),陕西西安人,华东师范大学国际金融与风险管理中心,博士,教授,博士研究生导师,研究方向:金融市场理论与实务.

Optimal Dynamic Asset Allocation Strategy for Occupational Pension Fund in Accumulate Phase

ZHAI Yong-hui1, WANG Xiao-fang2, YAN Hai-feng3   

  1. 1. School of Economics and Finance, Xi'an Jiaotong University, Xi'an 710061, China;
    2. Research Center of Internation Finance and Risk Management, East China Normal University, Shanghai 200062 China;
    3. School of Finance and Banking, Nanjing University of Finance and Economics, Nanjing 210046, China
  • Received:2009-03-26 Revised:2010-08-29 Online:2010-10-30 Published:2010-10-30

PDF (PC)

978

被引次数

39

摘要： 替代率是评价企业年金基金投资效果的重要指标之一.本文构建了与替代率挂钩的目标基金,建立了基于目标的企业年金基金最优资产配置模型,利用随机动态规划方法获得了年金基金最优投资策略的解析解,并通过蒙特卡洛模拟技术对所得结果进行数值模拟,考察了不同市场环境及不同群体的最优配置策略和最优策略对可控制参数的敏感性.结果表明:模型中参数对年金基金的最优配置策略各有不同影响,不同群体和不同金融市场中的最优策略也有差异,但总体而言最优资产配置策略具有高风险资产权重随着时间推移而降低的动态特征.

关键词: 资产配置策略, 企业年金, 替代率, 目标基金, 成本函数

Abstract: Replacement rate is one of the most important indicators to evaluate the investment effectiveness for occupational pension fund.The target fund linked with the replacement rate is constructed and the target-based optimal asset allocation model for occupational pension fund is established in this paper.Then,the optimal strategy is obtained by using stochastic dynamic programming.The optimal asset allocation strategy in different financial market and for different colony is investigated by using Monte Carlo simulation technique.Furthermore,sensitivity analysis for controllable parameters in the model is researched.The results show that the optimal asset allocation strategy is affected by the parameter in the model and the optimal asset allocation strategies for different colony in different financial market are different.Never theless,the weight of optimal allocation strategy to be invested into the high-risk asset decreases over time on all accounts.

Key words: optimal asset allocation strategy, occupational pension, replacement ratio, target fund, cost function

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