企业年金积累期的最优动态资产配置策略

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.

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

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.