养老基金的社会责任投资

社会责任投资(SR I)作为一种全新的投资理念,将社会、环境、人权等因素纳入融资标准。在倡导可持续性发展的今天,面对金融市场的种种不确定性因素,将这一理念引入到养老基金的投资决策中,无论从理论或实践的角度,都具有深远意义。本文从基本概念入手,考察了社会责任投资的发展轨迹,并从理论角度对其先进性和有效性进行探讨,进而分析了将SR I引入到养老基金投资中的可行性,最后结合国际经验和我国现实,提出了中国养老基金社会责任投资的政策建议。     

养老金业务全面风险管理

随着中国经济和金融体制改革的不断深入,社会保障制度特别是养老金制度也发生了剧烈的变革,逐步建立起社会统筹和个人账户相结合的养老保障体系,包括了国家基本养老保险、企业年金和个人储蓄养老保险三个支柱,养老基金也随之正式登陆中国资本市场。养老金是退休人员的养命钱,其性质决定了它在满足盈利性、流动性的前提下必须保持更低风险的特点,决定了它在风险管理上的高要求。     

中国开放式基金投资管理效率研究

本文利用数据包络分析法(DEA)对我国开放式基金2003～2008年的投资管理效率进行总体分析,发现我国开放式基金投资效率很低,基金风格、基金管理公司、规模大小、分红等都会影响其综合技术效率、纯技术效率与规模效率。进一步利用Malmquist生产率指数对其动态效率进行分析表明,开放式基金整体效率存在改善,主要来自于技术进步。     

Active investment manager portfolios and preferences for stock characteristics

The present study investigates the stock characteristic preferences of institutional Australian equity managers. In aggregate we find that active managers exhibit preferences for stocks exhibiting high‐price variance, large market capitalization, low transaction costs, value‐oriented characteristics, greater levels of analyst coverage and lower variability in analyst earnings forecasts. We observe stronger preferences for higher volatility, value stocks and wider analyst coverage among smaller stocks. We also find that smaller investment managers prefer securities with higher market capitalization and analyst coverage (including low variation in the forecasts of these analysts). We also document that industry effects play an important role in portfolio construction.     

Persistent performance in the mutual fund market: Tests with funds and investment advisers

Recent studies of mutual funds have concluded that there is some evidence of superior performance. We test for the existence of superior performance and its persistence with mutual funds and mutual fund investment advisers on a data set of monthly returns from 1979 to 1989 for 1,387 mutual funds grouped by 243 advisers. We find no evidence of superior performance or its persistence but we do find significant evidence of persistence of inferior performance. Consistent with previous studies our findings depend on the benchmark chosen, with multiple benchmarks producing a larger degree of inferior performance.     

公共养老储备基金资产配置比较研究与启示——基于挪威、法国、爱尔兰、新西兰四国公共养老储备基金比较分析

公共养老储备基金的资产配置策略是以储备基金的营运目标为导向制定的。设定基准投资组合、分散化的全球资产配置、重视新兴市场与社会责任投资、再平衡策略与动态资产配置策略并重等成为近年来各国共公告养老储备基金资产配置的主要特征。基于全国社会保障基金的投资实践,文章提出了制定差异化的资产配置策略以实现不同阶段目标,投资监管模式和资产配置策略同步创新以实现投资监管与投资实践良性互动,加快资产配置策略的全球布局以实现区域经济套利和人口红利套利,注重储备基金的责任投资导向、凸显养老金绿色投资功能的改革建议。     

Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility

This paper investigates time-consistent reinsurance(excess-of-loss, proportional) and investment strategies for an ambiguity averse insurer(abbr. AAI). The AAI is ambiguous towards the insurance and financial markets. In the AAI's attitude, the intensity of the insurance claims' number and the market price of risk of a stock can not be estimated accurately. This formulation of ambiguity is similar to the uncertainty of different equivalent probability measures. The AAI can purchase excess-of-loss or proportional reinsurance to hedge the insurance risk and invest in a financial market with cash and an ambiguous stock. We investigate the optimization goal under smooth ambiguity given in Klibanoff, P., Marinacci, M., & Mukerji, S. [(2005). A smooth model of decision making under ambiguity. Econometrica 73, 1849–1892], which aims to search the optimal strategies under average case. The utility function does not satisfy the Bellman's principle and we employ the extended HJB equation proposed in Björk, T. & Murgoci, A. [(2014). A theory of Markovian time-inconsistent stochastic control in discrete time. Finance and Stochastics 18(3), 545–592] to solve this problem. In the end of this paper, we derive the equilibrium reinsurance and investment strategies under smooth ambiguity and present the sensitivity analysis to show the AAI's economic behaviors.     

Evidence of herding and positive feedback trading for mutual funds in emerging Asian countries

When analysing the behavior of investors, the emphasis is usually on positive feedback and herding behavior, and the existing literature abounds with studies on the domestic strategy of mutual funds or on their impact. Due to the advantages in terms of the data, many studies investigate US data. However, with the increased flows of capital into emerging markets, studying the behavior of international mutual funds in emerging markets has become more and more important. Nevertheless, studies involving emerging markets are relatively rare. This study examines whether the positive feedback effect and herding behavior exist in Asian markets based on mutual fund data covering the period from 1996 to 2004. The long period enables us to test the sensitivities under the following four conditions, namely the capital volatility (volatile vs. stable), the degree of suffering during the Asian crisis (more suffering vs. less suffering), and the timing of the Asian crisis (pre-, during, and post-crisis), using the exchange rate regime. It was found in this study that mutual fund inflows into the Asian market were attracted by positive stock returns and currency appreciation. Furthermore, it was found that the positive feedback effect and herding behavior did exist in the Asian markets. However, the extent of the above behavior is not the same under different conditions.     

投资法人制度的导入与投资者保护——以日本法为借鉴

证券投资基金根据组织形式的不同,可以分为公司型基金和契约型基金。目前,公司型基金在我国的立法和实践中尚未得到认可。但从整个国际趋势来看,公司型基金是一种不可或缺的主要基金组织形式,其在美国、英国、日本等国家都有了迅速而健全的发展。其中日本在1998年导入被称为证券投资法人的公司型投资基金制度,2000年又将其修改为投资法人制度,弥补了单一基金形式的不足,极大地促进了基金品种的创新,更全面地保护了投资者的利益。投资法人制度与其原有的契约型投资基金制度共同推动着日本投资基金业的发展。本文在考察分析日本投资法人制度的基础上,探讨该制度对当前我国《证券投资基金法》修改的借鉴意义以及在投资者保护方面的积极作用。     

Optimal investment and risk control for an insurer with partial information in an anticipating environment

Abstract

This paper considers an optimal investment and risk control problem under the criterion of logarithm utility maximization. The risky asset process and the insurance risk process are described by stochastic differential equations with jumps and anticipating coefficients. The insurer invests in the financial assets and controls the number of policies based on some partial information about the financial market and the insurance claims. The forward integral and Malliavin calculus for Lévy processes are used to obtain a characterization of the optimal strategy. Some special cases are discussed and the closed-form expressions for the optimal strategies are derived.     

Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps

This paper considers a robust optimal excess-of-loss reinsurance-investment problem in a model with jumps for an ambiguity-averse insurer (AAI), who worries about ambiguity and aims to develop a robust optimal reinsurance-investment strategy. The AAI’s surplus process is assumed to follow a diffusion model, which is an approximation of the classical risk model. The AAI is allowed to purchase excess-of-loss reinsurance and invest her surplus in a risk-free asset and a risky asset whose price is described by a jump-diffusion model. Under the criterion for maximizing the expected exponential utility of terminal wealth, optimal strategy and optimal value function are derived by applying the stochastic dynamic programming approach. Our model and results extend some of the existing results in the literature, and the economic implications of our findings are illustrated. Numerical examples show that considering ambiguity and reinsurance brings utility enhancements.     

民间资本投资渠道拓展对策--宁波市民间资本投资现状调查分析

宁波市民间资本数量可观,活动剧烈。调查表明,宁波民间资本借贷活跃,地下钱庄发展迅速,民间炒房现象较严重,其危害性应引起有关部门的高度重视。为达到引导民间资本的投资流向,疏导其投资渠道,避免投资失误和投资渠道阻塞不畅,减少炒房现象,抑制房地产价格上扬,为需要资金的民营企业解决资金缺乏的问题等目的,作者建议应采取相应的对策。     

Do commodities add value in multi-asset portfolios? An out-of-sample analysis for different investment strategies

An essential motive for investing in commodities is to enhance the performance of portfolios traditionally including only stocks and bonds. We analyze the in-sample and out-of-sample portfolio effects resulting from adding commodities to a stock-bond portfolio for commonly implemented asset allocation strategies such as equally- and strategically-weighted portfolios, risk-parity, minimum-variance as well as reward-to-risk timing, mean-variance and Black–Litterman. We analyze different commodity groups such as agricultural and livestock commodities that currently are critically discussed. The out-of-sample portfolio analysis indicates that the attainable benefits of commodities are much smaller than suggested by previous in-sample studies. Hence, in-sample analyses, such as spanning tests, might exaggerate the advantages of commodities. Moreover, the portfolio gains greatly vary between different types of commodities and sub-periods. While aggregate commodity indices, industrial and precious metals as well as energy improve the performance of a stock-bond portfolio for most asset allocation strategies, we hardly find positive portfolio effects for agriculture and livestock. Consequently, investments in food commodities are not essential for efficient asset allocation.     

海南省被征地农民基本养老保险项目投资收益需求测算

目前,为保障被征地农民的利益,相关省市已陆续出台了被征地农民养老保险的相关政策。为了满足养老金的支付需求,必须对资金的投资收益需求进行测算。依据海南省颁布的《海南省被征地农民基本养老保险暂行办法》(下称《暂行办法》)的相关规定,本文对海南省被征地农民养老保险资金的投资收益率需求做了测算,并对性别比例、平均年龄、消费价格指数等因素进行了敏感性分析。