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替代率是评价企业年金基金投资效果的重要指标之一。本文构建了与替代率挂钩的目标基金,建立了基于目标的企业年金基金最优资产配置模型,利用随机动态规划方法获得了年金基金最优投资策略的解析解,并通过蒙特卡洛模拟技术对所得结果进行数值模拟,考察了不同市场环境及不同群体的最优配置策略和最优策略对可控制参数的敏感性。结果表明:模型中参数对年金基金的最优配置策略各有不同影响,不同群体和不同金融市场中的最优策略也有差异,但总体而言最优资产配置策略具有高风险资产权重随着时间推移而降低的动态特征。
The replacement rate is one of the important indexes to evaluate the investment effect of enterprise annuity fund. This paper constructs the target fund linked with the replacement rate, sets up the optimal asset allocation model of the enterprise annuity fund based on the goal, obtains the analytical solution of the optimal investment strategy of the annuity fund by stochastic dynamic programming method, and through the Monte Carlo simulation technology The results obtained are numerically simulated and the sensitivities of the optimal allocation strategies and optimal strategies to controllable parameters in different market environments and different groups are investigated. The results show that the parameters in the model have different effects on the optimal allocation of annuity funds, and the optimal strategies in different groups and in different financial markets also differ. However, in general, the optimal asset allocation strategy has high risk asset weights over time Passing and decreasing dynamic characteristics.