生命周期、风险偏好和积累水平对DC型养老金资产配置策略的影响研究*

近年来，DC型养老金在我国得到了长足发展。DC型养老金的积累期长达数十年，如何通过有效的资产配置，实现参保人更高的养老效用是理论界和实务界都关注的问题。本文在默顿（Merton）连续时间最优投资-消费问题框架下，建立了DC型养老金最优资产配置问题的随机优化模型。以此为基础，本文研究了生命周期、风险偏好和积累水平对养老金积累期最优资产配置策略的影响。进而，通过Monte Carlo模拟，本文研究了最优资产配置策略与恒定资产配置比例策略下养老金积累效果的优劣。本文的结论证明，在放开DC型养老金投资限制的条件下，引入“生命周期基金”和“生命特征基金”，引导最优资产配置很有必要。

THE IMPACTS OF LIFE CYCLE,RISK PREFERENCE AND ACCUMULATION LEVEL ON THE OPTIMAL ASSET ALLOCATION STRATEGIES OF THE DC PENSION PLAN

In recent years, DC pension plan has been greatly developed in ChinaThe accumulation phase of the DC pension plan lasts for decadesHow to achieve higher old care utilities by appropriate asset allocation strategies is the key issueIn this paper, we study the impacts of life cycle, risk preference and the accumulation level on the optimal asset allocation strategies in the Mertons optimal investment consumption frameworkFurthermore, using Monte Carlo methods, the performances of the four kinds of asset allocation strategies are evaluatedThe results confirm the necessity of introducing the “lifecycle funds” and the “lifestyle funds” to guide the optimal asset allocation behaviors.