养老保险基金在资本市场的投资模式与投资组合分析(doc56页).doc

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中国地质大学（武汉）经济管理学院
金融市场学课程论文

课程题目：养老保险基金在资本市场的投资模式与投资组合分析

姓名：谢晓芬

学号：5

专业：经济学

班级：081111

时间：2013 年 12 月 31 号
摘 要

养老保险是社会保险制度最重要、最核心的内容。我国的养老保险是由国家
基本养老保险、 企业补充养老保险和个人储蓄性养老保险共同组成的多层次的养
老保险体系，其中国家基本养老保险实行社会统筹与个人账户相结合的制度， 通过部分积累制的筹集模式建立基本养老保险基金，保证劳动者退休后的基本生 活。为实现养老保险基金的保值增值，减轻养老保险基金的支付压力，迎接我国 人口老龄化的挑战，养老保险基金在资本市场上进行投资是十分必要的。本文运
用拍卖理论、 委托代理理论以及现代投资理论， 结合养老保险基金的性质和特点，
对养老保险基金在资本市场的投资模式与投资组合进行分析和探讨。
首先，本文考察了与养老保险基金相关的一些基本概念和基本理论，目的在 于界定本文的讨论范围和对象。同时，考察了当前我国养老保险基金的筹集模式
和运营模式， 指出了养老保险基金在资本市场进行投资的必要性和可行性。 其次，
在分析养老保险基金在资本市场的投资原则和投资方式的基础上， 运用拍卖理论
进行养老保险基金投资管理人和投资托管人的选择， 讨论了适用于养老保险基金
投资权利拍卖的拍卖机制。
最后，通过对我国当前资本市场上投资工具的分析，根据现代投资理论，对
养老保险基金在资本市场的投资组合进行分析， 点讨论了养老保险基金在风险 重
资产和无风险资产之间的资本配置以及在不同类型风险资产之间的资产配置问
题，构造了包括银行存款、国债、企业债券和股票等不同投资工具在内的养老保 险基金的资产组合。同时，考虑到各方面因素的影响，特别是基于理论上的局限 性、资本市场的有效性以及养老保险基金的特殊性，本文提出了养老保险基金投

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资的一般策略。
关键词：养老保险基金，投资模式，投资组合
ABSTRACT

Pension Insurance is the most important and critical contents of the
socialinsurance system. In our country, pension insurance is a multi-layer system composed ofnational basic pension insurance, enterprise complementary pension
insurance andindividual saving pension insurance. National basic pension insurance
implements thesystem combined with social unified planning and individual account,
establishing basalpension insurance funds by the partially accumulating system in
order to guarantee thelaborer' essential life. For the sake of keeping and increasing the
value and relieving thepayment pressure of the pension insurance funds, and facing the challenge of agingpopulation, it is necessary for the pension insurance funds to invest in the capital market.
This dissertation analyzes and discusses the investment pattern and portfolio of
pensioninsurance funds investing in the capital market, using the auction theory,
principal-agenttheory, and modern investment theory and considering it's property
and characteristic.Firstly, the dissertation reviews some foundational concepts and
theories. The aimis to define the extension and object of the discussion, i.e., the
pension insurance fundsin this dissertation is the funds that managed by the social
insurance office dominatedby the labor and social security department all levels in our
country. It differs from thebusiness insurance funds managed by the business
insurance corporation and from thenational social security fund managed by the national council for social security fund,and from the securities investment funds
managed by the fund managementcorporations At the same time, byapplying the
principal-agent theory and by altering the hypothesis about the risk attitudeof the
principal and the agent in the standarded principal-agent model, a mathematicalmodel
is set up and solved in order to analysis the principal-agent relationship between he
principal and the agent. So the moral hazard of the investment operator
issettled,which is brought as a result of the information asymmetry.Lastly, by
discussing the current investment tools in the capital market in ourcountry, and
focuses on the discuss about the capital allocation decision of thepension insurance
funds between the risky assets and the risk-free assets, about the assetallocation
decision of the pension insurance funds among the different types of the riskyassets.
Furthermore, the dissertation constructs a portfolio of pension insurance
funds,including various investment tools, such as bank deposit, treasury bond,

corporate bond,common stock, and so on. Simultaneously, considering the impacts of
the factors ofevery aspect, especially based on the restriction of the theory and the
complexity of thecapital market and particularity of the pension insurance funds, the
dissertation putsforward the general strategies of the investment of the pension insurance funds.
Keywords: Pension Insurance Funds, Investment Pattern, Portfolio
一、 绪 论.................................................................................................................... 0

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（一）研究的背景................................................................................................ 0
（二）研究的目的和意义.................................................................................... 0 （三）研究的内容和方法................................................................................... 1 （四）小结............................................................................................................ 1
二、社会保障、社会保险、养老保险的基本问题.................................................... 1
（一）社会保障与社会保障基金........................................................................ 1 （二）社会保险与社会保险基金........................................................................ 2 （三）养老保险与养老保险基金........................................................................ 3 （四）保障方式的多层次性................................................................................ 4
三、当前养老保险基金的筹集模式与运营模式................ 6
（一）我国养老保险制度的发展沿革与现状.................................................... 6 （二）当前养老保险基金的筹集模式................................................................ 9 （三）当前养老保险基金的运营模式.............................................................. 11 （四）小结........... 13
四、 养老保险基金在资本市场投资的必要性、可行性与局限性........................ 13
（一）养老保险基金投资资本市场的必要性.................................................. 13 （二）养老保险基金投资资本市场的可行性................................................. 16 （三）目前养老保险基金投资资本市场的局限性.......................................... 17 （四）小结.......................................................................................................... 18
五、 养老保险基金在资本市场的投资机制设计.................................................... 19
（一）养老保险基金的投资原则与投资目标............. 19 （二）养老保险基金的投资方式...................................................................... 19 （三）养老保险基金投资管理人的选择.......................................................... 21 （四）养老保险基金投资托管人的选择.......................................................... 26 （五）养老保险基金投资的委托代理分析...................................................... 26 （六）小结.......................................................................................................... 27
六、养老保险基金在资本市场的投资组合分析...................................................... 27
（一）养老保险基金在资本市场投资的金融工具................... 27 （二）养老保险基金投资的基本理论.............................................................. 31 （三）养老保险基金的投资组合分析.............................................................. 35 （四）养老保险基金在资本市场的投资策略.................................................. 37 （五）小结............................... 39
七、结 论.................................................................................................................... 39 参 考 文 献................................................................................................................ 40

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