住房公积金投资组合研究

本文总结了近年来全国住房公积金投资结构的变化过程,分析了银行存款和购买国债的收益和风险状况,指出利率风险是住房公积金投资组合的主要风险,构建了基于久期的多目标规划模型,并利用最新的银行存款和国债利率数据进行了实证分析,发现半年期定期存款和3年期凭证式国债具有相对较高的投资价值,当两者按照8∶2的比例构成住房公积金投资组合时,可以获得较高的收益和较低的风险。

Study on the Portfolio of Housing Provident Fund

The authors summarize the change process of the investment structure of nation-wide housing provident fund in recent years,analyze the return and risk of bank deposits and government bonds,and point out that the interest rate risk is the main risk of housing provident fund portfolio.Then a multi-objective programming model based on duration is constructed.Empirical analysis shows that the six-month fixed deposit and the 3-year certificate bonds have a high investment value,and 80% of the former and 20% of t...