基于均值－方差模型的保险资金投资组合研究

首先介绍了马科维茨的均值-方差模型,然后求出了2006-2010年期间的股票收益率、证券投资基金收益率、国债收益率、企业债收益率、银行存款利率,最后根据保监会对保险公司资金使用的要求建立数学模型求出了保险公司的最优投资组合为65.68％投资于存款和国债,29.2％投资于企业债,5.12％投资于基金.

Research on Insurance Funds Investment Portfolio Based on Mean-Variance

This paper firstly introduces Markowitz''s mean-variance model,then obtains stoch return rate,securities investment funds yieldrate,national bonds return rate,corporate bonds return rate and bank deposit interest rate during 2006-2010 and finally sets up mathematical model to get the optimal protfolio of insurence companies such as 65.68 percent for the investment in deposit and national bonds,29.2 percent for the investment in cooperate bonds and 5.12 for the investment in funds according to the requirement of insurance supervision committee for the investment of the funds of insurance companies.