| 基于MNL的养老保险基金组合投资决策模型 |
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| 引用本文： | 安实,苏钰.基于MNL的养老保险基金组合投资决策模型[J].哈尔滨工业大学学报,2006,38(11):1885-1887,1902. |
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| 作者姓名： | 安实 苏钰 |
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| 作者单位： | 哈尔滨工业大学,交通科学与工程学院,哈尔滨,150090;哈尔滨工业大学,交通科学与工程学院,哈尔滨,150090 |
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| 摘 要： | 养老保险基金的投资决策是关系到我国养老保险制度改革的核心问题之一,构造合适的决策模型有助于丰富和发展养老保险基金投资决策理论和推进我国保险市场的繁荣.本文采用行为金融的有关理论和方法,分析养老保险基金经理面临投资组合决策时的效用,进而构造出效用函数,推导不同的投资组合的选择概率,计算出基金经理人对不同证券的投资额.该模型解释了投资风险变化对投资决策的影响,揭示了养老保险基金经理人的投资偏好在决策中的作用.
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| 关 键 词： | 行为金融 养老保险基金 投资决策 |
| 文章编号： | 0367-6234（2006）11-1885-03 |
| 收稿时间： | 2005-03-10 |
| 修稿时间： | 2005-03-10 |
The investment decision-making model for endowment insurance fund portfolio based on MNL |
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| AN Shi,SU Yu.The investment decision-making model for endowment insurance fund portfolio based on MNL[J].Journal of Harbin Institute of Technology,2006,38(11):1885-1887,1902. |
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| Authors: | AN Shi SU Yu |
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| Affiliation: | School of Communications Science and Engineering, Harbin Institute of Technology, Harbin 150090, China |
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| Abstract: | The investment decision-making for endowment insurance fund is one of the important things influencing the reform of endowment insurance system in our country,so constructing proper decision-making model can help to enrich endowment insurance fund decision-making theory and make the insurance market boom.In this paper,adopting the relevant behavioral finance theory,investigators analyzed the fund manager's utility when making investment portfolio decision,constructed the utility function,deduced the probability about the different portfolio,figured out the fund manager's amount investing in the different negotiable securities.This model explained how the investment venture influenced the investment decision-making,and revealed how endowment insurance fund manager's investment preference came into effect in the decision-making. |
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| Keywords: | behavioral finance endowment insurance fund investment decision-making |
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