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本文基于我国保险业投资的监管规定,在有投资比例限制和无投资比例限制两种情况下,通过Markowitz均值-方差模型得到保险业投资组合的效率前沿,并对夏普指标和IR绩效指标下的最优投资组合进行了比较。结果表明,现行投资比例限制政策不仅抑制了保险业投资前沿上的高收益高风险部分,同时也可能降低保险业投资绩效。在存在和不存在投资比例限制时,以夏普指标建立的最优投资组合无明显差异;而以IR绩效指标建立的最优投资组合,有明显差异。以这两个投资绩效指标作为评价标准,我国保险业的实际投资组合正逐渐趋向合理。
In this paper, based on the regulation of insurance investment in our country, the efficiency frontier of insurance portfolio is obtained by Markowitz Mean-Variance Model under the condition of investment proportion restriction and non-investment proportion restriction. And under Sharp index and IR performance index The optimal portfolio is compared. The results show that the current policy of investment proportion restriction not only restrain the high-yield and high-risk part of insurance investment, but also reduce the investment performance of insurance industry. In the presence and absence of investment ratio constraints, the optimal investment portfolio established by the Sharp Index has no significant difference; and the optimal investment portfolio established by the IR performance indicator has obvious differences. With these two investment performance indicators as the evaluation criteria, the actual investment portfolio of China’s insurance industry is gradually becoming more reasonable.