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1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：201113655专业：经济学班级：081111时间：2013年12月31号2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，重点讨论了养老保险基金在风险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资的一般策略。关键词：养老保险基金，投资模式，投资组合3ABSTRACTPensionInsuranceisthemostimportantandcriticalcontentsofthesocialinsurancesystem.Inourcountry,pensioninsuranceisamulti-layersystemcomposedofnationalbasicpensioninsurance,enterprisecomplementarypensioninsuranceandindividualsavingpensioninsurance.Nationalbasicpensioninsuranceimplementsthesystemcombinedwithsocialunifiedplanningandindividualaccount,establishingbasalpensioninsurancefundsbythepartiallyaccumulatingsysteminordertoguaranteethelaborer’essentiallife.Forthesakeofkeepingandincreasingthevalueandrelievingthepaymentpressureofthepensioninsurancefunds,andfacingthechallengeofagingpopulation,itisnecessaryforthepensioninsurancefundstoinvestinthecapitalmarket.Thisdissertationanalyzesanddiscussestheinvestmentpatternandportfolioofpensioninsurancefundsinvestinginthecapitalmarket,usingtheauctiontheory,principal-agenttheory,andmoderninvestmenttheoryandconsideringit’spropertyandcharacteristic.Firstly,thedissertationreviewssomefoundationalconceptsandtheories.Theaimistodefinetheextensionandobjectofthediscussion,i.e.,thepensioninsurancefundsinthisdissertationisthefundsthatmanagedbythesocialinsuranceofficedominatedbythelaborandsocialsecuritydepartmentalllevelsinourcountry.Itdiffersfromthebusinessinsurancefundsmanagedbythebusinessinsurancecorporationandfromthenationalsocialsecurityfundmanagedbythenationalcouncilforsocialsecurityfund,andfromthesecuritiesinvestmentfundsmanagedbythefundmanagementcorporationsAtthesametime,byapplyingtheprincipal-agenttheoryandbyalteringthehypothesisabouttheriskattitudeoftheprincipalandtheagentinthestandardedprincipal-agentmodel,amathematicalmodelissetupandsolvedinordertoanalysistheprincipal-agentrelationshipbetweenheprincipalandtheagent.Sothemoralhazardoftheinvestmentoperatorissettled,whichisbroughtasaresultoftheinformationasymmetry.Lastly,bydiscussingthecurrentinvestmenttoolsinthecapitalmarketinourcountry,andfocusesonthediscussaboutthecapitalallocationdecisionofthepensioninsurancefundsbetweentheriskyassetsandtherisk-freeassets,abouttheassetallocationdecisionofthepensioninsurancefundsamongthedifferenttypesoftheriskyassets.Furthermore,thedissertationconstructsaportfolioofpensioninsurancefunds,includingvariousinvestmenttools,suchasbankdeposit,treasurybond,corporatebond,commonstock,andsoon.Simultaneously,consideringtheimpactsofthefactorsofeveryaspect,especiallybasedontherestrictionofthetheoryandthecomplexityofthecapitalmarketandparticularityofthepensioninsurancefunds,thedissertationputsforwardthegeneralstrategiesoftheinvestmentofthepensioninsurancefunds.Keywords:PensionInsuranceFunds,InvestmentPattern,Portfolio4一、绪论....................................................................................................................1（一）研究的背景................................................................................................1（二）研究的目的和意义....................................................................................1（三）研究的内容和方法....................................................................................2（四）小结............................................................................................................2二、社会保障、社会保险、养老保险的基本问题....................................................2（一）社会保障与社会保障基金........................................................................2（二）社会保险与社会保险基金........................................................................3（三）养老保险与养老保险基金........................................................................4（四）保障方式的多层次性................................................................................5三、当前养老保险基金的筹集模式与运营模式........................................................9（一）我国养老保险制度的发展沿革与现状....................................................9（二）当前养老保险基金的筹集模式..............................................................11（三）当前养老保险基金的运营模式..............................................................15（四）小结..........................................................................................................18四、养老保险基金在资本市场投资的必要性、可行性与局限性........................18（一）养老保险基金投资资本市场的必要性..................................................18（二）养老保险基金投资资本市场的可行性..................................................21（三）目前养老保险基金投资资本市场的局限性..............................