摘要
本文利用现代优化理论构建了退休后年金基金的最优投资决策模型，在基金的最优投资策略下，对企业年金的三种不同领取方案（PLA、ELA、ELID）进行了比较分析。经蒙特卡洛模拟方法和精算技术得到的数值分析结果表明：EIA和ELID方案的最优投资策略稳健（在风险资产上最优投资权重多数在10％～30％之间）；预期寿命超过70岁或者没有遗产动机的计划参与者宜选择ELA方案，而身体状况不好又有遗产动机的计划参与者宜选择ELID方案，PLA方案总不是最佳的选择。
The optimal asset allocation model is established by using modem optimize theory for occupational pension fund at the time of retirement. Three payout strategies （PLA, ELA, ELID） at retirement are compared under the optimal invest strategies. The simulation and actuarial technology results show that the optimal strategies are moderate for the ELA and ELID plan（ the optimal quota of portfolio to be invested into the risk asset is between 10% - 30% ） ; ELA plan is the optimal strategy for the plan member whose prospective life order than 70, ELID plan is the optimal strategy for the plan member who has bequest motive and ill health, PLA plan is never the best ehoice.
出处
《产业经济研究》
CSSCI
2009年第6期52-59,共8页
Industrial Economics Research
基金
北京大学汇丰金融研究院公开招标课题"中国企业年金缴费率与给付方式选择及投资策略研究"阶段性成果。
关键词
投资策略
企业年金
领取方案
invest strategy
occupational pension
payout strategies.
