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中原工学院硕士学位论文
摘
要
随着我国保险改革不断深化，保险监管政策也在不断完善；在政府的扶持政策下，
我国保险行业在保费收入规模、资产总额以及资金运用余额方面均取得了优异的成绩。
在保险行业取得明显进步，保险资金投资全面放宽的大形势下，保险行业的竞争也不断
的加剧。在这种形势下，承保业务在保险公司整体的收入、利润和现金流中的地位逐步
下降，投资收益慢慢超过承保端收益，成为了保险公司净利润的主要来源。但是我国保
险公司的投资收益率及其稳定性与国外同行相比还有明显差距。在疫情的冲击下，全球
经济复苏进程迟缓，国内外的投资环境严峻，保险资金投资风险增大。在新环境下，如
何有效的管理好保险业庞大的资产规模，如何通过不断地优化保险资金资产组合，分散
投资风险，促进保险行业稳定高质量发展，是保险资管业需要面对的重要课题。
本文从行为金融学入手，通过 Black-Litterman模型对保险资金进行投资组合。
Black-Litterman模型克服了均值-方差模型对输入参数敏感的缺点，可以更好地应用于实
践。但是，在传统的 Black-Litterman模型中，投资者主观观点参数的设置具有随意性。
因此，本文在 Black-Litterman模型的框架下，对投资者主观观点参数的设置进行改进，
通过 GARCH模型量化投资者观点收益向量；通过机构投资者情绪设置投资者信心水平，
从而对我国保险资金投资组合进行研究。同时，由于在市场崩溃的情况下，绝大部分资
产价格同向波动，分散化投资策略失效，流动性枯竭会导致卖空机制也难以发挥套保作
用。这时，加入金融衍生品的套保性投资组合的收益率会呈现出更高的稳定性。基于此，
本文进一步将金融衍生品也纳入保险资金投资组合的可投资产中，在市场崩溃的情况
下，对通过衍生品交易对冲风险的保险资金投资组合进行研究。
研究结果显示：(1)在相同的条件下，参数优化后的 Black-Litterman模型的投资组合
绩效优于均值-方差模型与市场组合，这支持了纳入投资者主观观点的投资组合更趋合
理的结论。(2)在正常市场条件下，随着投资者信心水平的增加，投资组合的收益率是不
断上升的；随着信心水平的下降，投资组合的收益率趋于平稳。这表明，当保险公司对
自己的观点很确定时，可以设置较高的信心水平，如果主观观点判断准确，就可以获得
超额收益率；而当保险公司对自己的观点不太确信时，即使将信心水平设置的偏低，也
能够获得接近市场权重配置下的收益。(3)在市场崩溃的情况下，保险公司可以选择不投
资股票与衍生品类资产，从而避免由市场崩溃造成的损失；也可以将过度高涨的投资者
情绪作为反向指标，通过衍生品套期保值对保险资金进行投资组合，来达到降低风险、
提高收益的目的。
关键词：投资组合；保险资金；Black-Litterman模型
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中原工学院硕士学位论文
Abstract
With the deepening of China's insurance reform, insurance regulatory policies are
constantly improving; Under the supportive policies of the government, China's insurance
industry has achieved excellent results in terms of premium income scale, total assets and
fund utilization balance. In the insurance industry has made significant progress, insurance
capital investment relaxed overall situation, insurance industry competition is also
increasingly intensified. In this situation, the position of underwriting business in the overall
income, profit and cash flow of insurance companies gradually decreases, and investment
income gradually exceeds underwriting income to become the main source of net profit of
insurance companies. However, the return on investment and its stability of Chinese insurance
companies still lag behind those of foreign counterparts. Under the impact of the epidemic,
the global economic recovery is slow, the investment environment at home and abroad is grim,
and the investment risks of insurance funds are increasing. Under the new environment, how
to effectively manage the huge asset scale of the insurance industry, how to continuously
optimize the insurance capital asset portfolio, diversify investment risks, and promote the
stable and high-quality development of the insurance industry are important issues that the
insurance asset management industry needs to face.
This paper starts with behavioral finance and uses Black-Litterman model to portfolio
insurance funds. Black-Litterman model overcomes the disadvantage of mean-variance model
being sensitive to input parameters and can be better applied to practice. However, in the
traditional Black-Litterman model, the setting of investors' subjective opinion parameters is
arbitrary. Therefore, in the framework of Black-Litterman model, this paper improves the
setting of investors' subjective opinion parameters, and quantifies investors' opinion return
vector by GARCH model. The level of investor confidence is set by institutional investor
sentiment, and the insurance fund portfolio in China is studied. At the same time, as most
asset prices fluctuate in the same direction in the case of market collapse, diversified
investment strategies become ineffective, and liquidity exhaustion will make it difficult for
the short-selling mechanism to play the hedging role. At this time, the return rate of the
hedging portfolio with financial derivatives will be more stable. Based on this, this paper
further includes financial derivatives into the investable assets of insurance capital investment
portfolio, and studies the insurance capital investment portfolio hedging risks through
derivatives trading in the case of market collapse.
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