文档介绍：上海交通大学
硕士学位论文
基于随机利率和通货膨胀的养老金资产配置
姓名:安鹏
申请学位级别:硕士
专业:金融学
指导教师:蔡明超
20100101
基于随机利率和通货膨胀的养老金资产配置

摘要

近几年,随着人口老龄化程度的加深,个人养老险的投资也得到
广泛关注,本文以宏观经济和养老金的资产配置为着眼点,重点分析
两个问题:a. 宏观经济如何影响资产收益及资产配置,各个因素对
资产收益的传导机制;b. 基于宏观经济因素下养老金的最优资产配
置,以及对于不同的养老金受益人资产配置的调整和变化。
首先,本文研究了我国经济周期与股票债券市场周期的关系,并
指出宏观经济是影响资产收益最重要的因素,并结合数据分析宏观
经济各指标如 GDP 增长率,通货膨胀,利率等因素,对股票资产,
债券资产的传导机制。
然后,考虑到利率和通胀是宏观经济走势最重要的指标,本文主
要建立了基于随机通胀和随机实际利率的最优资产配置模型。考虑现
金、股票和债券这三种资产,然后分别对三类资产进行建模,建立养
老金最优资产配置模型,并对该模型求解得出解析解。
接下来,文章对模型中的主要参数进行估计,并在不同维度下对
结果进行分析,模型输出结果显示养老金受益人不同年龄,不同风险
厌恶程度和对经济阶段不同预期的最优资产配置。
分析结果表明,对同一养老金受益人,随着年龄的增加,风险资
产配置比例下降;对于不同养老金受益人,不同的风险厌恶程度是影
iv
响风险资产配置的重要因素。同时,养老金管理人对经济阶段的不同
预期,将对养老金最优配置产生较大影响,在衰退阶段,最好的选择
是债券,而股票在复苏阶段表现最好,在滞涨阶段,手持现金是最优
策略。

关键词:养老金,经济周期,随机过程,动态资产配置,生命周期,
风险偏好
v
OPTIOMAL ASSET ALLOCATION FOR PENSION FUNDS
WITH STOCHASTIC INTEREST RATE AND INFLATION

ABSTRACT

Nowadays, with aging of population personal pesion plan begin to attract wider
attention. The paper considers from a macro-economic view and analyses two
important issues about pension asset allocation: a) what influence does
macro-economy have on pension asset return and allocation, b) what is the optimal
allocation strategy based on macro-economy status, and how we can tailor adjustment
depending on different beneficiaries.
First of all, the paper studied the connection between economy cycle and
security market cycle, pointing out that the general economy is the most prominent
factor that affects assest return. The paper also analyses data such as GDP growth,
inflation, interest rate, to study their conduction effect on stocks and bonds.
Meanwhile, considering the interest rate and inflation is the most important factor
affecting general economy, the paper sets up optimal asset allocation model based on
stochastic inflation and random real interest rate. Tailored models are built for cash,
stock and bonds, and analytic solu