2024届研究生硕士学位论文
分类号：学校代码：10269
密级：学号：51214401007
East China Normal University
硕士学位论文
MASTER'S DISSERTATION
论文题目：第三支柱个人养老金最优
投资组合问题研究
院系：经济与管理学院
专业：金融学
研究方向：养老金融
指导教师：周延教授
学位申请人：高凤阁
2024年5月21日
Dissertation for Master’s Degree in 2024
University code:10269
Student ID:51214401007
East China Normal University
Title:Research on the Optimal Investment Portfolio
of the Third Pillar Personal Pension
Department:School of Economics and Management
Major:Finance
Research Direction:Pension Finance
Supervisor:Prof.Zhou Yan
Candidate:Gao Fengge
May，2024
高凤阁硕士学位论文答辩委员会成员名单
姓名职称单位备注
蓝发钦教授华东师范大学主席
孙丽副教授华东师范大学
汪莉副教授华东师范大学
华东师范大学硕士学位论文
中文摘要
随着人口老龄化趋势的加剧，养老金制度成为社会关注的焦点。第三支柱
个人养老金作为养老金体系的重要组成部分，其投资组合问题对于保障退休人员
的生活质量具有重要意义。本文旨在研究第三支柱个人养老金最优投资组合问题，
通过理论分析和实证研究，探讨投资组合的构建方法和优化策略。
首先，本文介绍了第三支柱个人养老金以及投资组合优化的基本概念，接
着，从理论和实证两个角度对第三支柱个人养老金最优投资组合问题进行了深入
研究。理论方面，本文分析了生命周期理论、福利经济学、现代投资理论以及无
风险保障系数模型的建立过程；另外本文探讨当前我国第三支柱个人养老金可投
资的四类产品，包括储蓄存款、银行理财、商业养老保险和公募基金的特点，同
时分析现有投资组合的问题，并借鉴国际个人养老金投资的经验教训。
在实证方面，本文运用一般均值—方差模型和无风险保障系数模型对投资组
合进行了实证分析。两种模型都表明，随着市场条件或投资者风险承受能力的变
化，投资组合应该进行动态调整。这意味着投资者应根据自身的风险承受能力和
市场情况，灵活调整各类资产的配置比例。
最后，本文提出了针对第三支柱个人养老金最优投资组合问题的建议和对策。
包括建立健全相关制度来增加居民信任、普及养老金融知识、建立默认投资产品
池鼓励金融产品创新等。这些建议旨在提高第三支柱个人养老金的投资效果，为
退休人员提供更好的养老保障。
关键词：第三支柱个人养老金；最优投资组合；资产配置
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华东师范大学硕士学位论文
ABSTRACT
With the intensification of the aging population trend,the pension system has
become a focal point of social attention.As an important component of the pension
system,the optimal investment portfolio of the third pillar of individual pensions is of
great significance for ensuring the quality of life of retirees.This article aims to study
the optimal investment portfolio of the third pillar of individual pensions,exploring the
construction methods and optimization strategies of investment portfolios through
theoretical analysis and empirical research.
Firstly,this article introduces the basic concepts of the third pillar of individual
pensions and investment portfolio optimization.Then,it conducts in-depth research on
the optimal investment portfolio of the third pillar of individual pensions from both
theoretical and empirical perspectives.In terms of theory,this article analyzes the life
cycle theory,welfare economics,modern investment theory,and the establishment
process of the risk-free security coefficient model.Additionally,this article explores the
characteristics of the four types of investable products for the third pillar of individual
pensions in China,including savings deposits,bank wealth management products,
commercial endowment insurance,and public funds.It also analyzes the problems of
existing investment portfolios and draws lessons from international experience in
individual pension investments.
In terms of empirical research,this article uses the general mean-variance model
and the risk-free security coefficient model to conduct empirical analysis of investment
portfolios.Both models indicate that with changes in market conditions or investors'
risk tolerance,investment portfolios should be dynamically adjusted.This means that
investors should flexibly adjust the allocation ratios of various assets based on their
own risk tolerance and market conditions.
Finally,this article proposes suggestions and countermeasures for the optimal
investment portfolio of the third pillar of individual pensions.These include
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