I 摘要 随着老龄化问题的加剧，个人养老资产投资是近年来老百姓较为关心的问题， 在进行个人养老投资时，需要对养老资产实施资产配置规划，资产配置规划的实 施步骤可以分为确定资产配置基线、资产配置动态调整、判断是否调整配置基线 三个阶段。在这当中，个人养老投资者最大的困惑是如何实施个人养老资产配置 规划中的动态调整。为此，学术界已进行过一系列的研究，研究结果表明，个人 养老资产配置的相关理论围绕着如何对资产进行定价这一问题，总共经历了现代 投资组合理论、现代投资组合理论的改进、因子理论三个阶段。与此同时，金融 学理论也得到了不断的完善，有效市场假说、行为金融学和经济周期理论的出现， 从被动投资与主动投资的角度，将资产配置的动态调整划分为了资产配置再平衡 和战术资产配置。且相关学者通过实证分析发现，资产配置再平衡和战术资产配 置均能让投资组合获得超额收益，但对这两种策略的对比分析研究还相对较少。 因此，本文从理论和实证两个层次对个人养老资产配置规划的动态调整进行 了研究。在理论研究层次，区分了战略资产配置和资产配置动态调整的差异，讨 论了再平衡、战术配置两种资产配置动态调整策略的优劣，明确了相关资产配置 策略的实施流程，通过理论研究发现，资产配置再平衡简单实用，战术资产配置 收益更高。在实证分析层次，将样本数据划分为训练样本和实证样本。利用训练 样本，通过均值-方差模型，确定了在约束情况下，个人养老资产配置的基线。随 后使用实证样本，对资产配置再平衡和战术资产配置进行了数值仿真分析和对比。 结果表明，不论是再平衡策略、战术配置策略，均能有效改善投资组合的收益情 况，并且战术配置策略的收益优于再平衡策略，但对投资者的专业素养有着更高 的要求，再平衡策略由于操作便捷，所承担的风险更小，适合普通养老投资者。 最后，本文还对个人养老投资提出了建议。一是投资者应合理规划个人养老 资产配置，避免投资品类单一的问题，二是针对个人的实际情况，在实施动态调 整时，明确是使用资产配置再平衡还是战术资产配置。三是依据选择的动态调整 策略对资本市场进行有效监控。 关键词：资产配置，动态调整，个人养老 ABSTRACT II ABSTRACT With the aggravating aging problem, the investment in personal pension assets has become a concern of the people in recent years. It is necessary to implement asset allocation planning for pension assets when making personal pension investment. Asset allocation planning can be divided into three stages: determine the asset allocation baseline, dynamic adjust the asset allocation, and judge whether to adjust allocation baseline. In the implementation process, the biggest key confusion of individual pension investors is how to implement the dynamic adjustment in personal pension asset allocation.。A series of research of academia have shown that the personal pension asset allocation revolves around the issue of how to price assets, and has gone through three stages: modern portfolio theory, improvement of modern portfolio theory, and factor theory. At the same time, financial theory has also been continuously improved. The emergence of efficient market hypothesis, behavioral finance, and business cycle theory has divided the dynamic adjustment of asset allocation into asset allocation rebalancing strategies and tactical asset allocation strategy in terms of rebalancing investment and tactical investment. Through further empirical analysis, the author find that both of these dynamic adjustment strategies can make investment portfolios achieve excess returns, but there are just a few comparative analysis of these two strategies. Therefore, the research of this thesis is the dynamic adjustment of personal pension asset allocation on the basis of the theoretical and empirical levels.。 At the level of theoretical research, the functions of strategic asset allocation and dynamic asset allocation are distinguished. The advantages and disadvantages of negative and positive asset allocation dynamic adjustment strategies are discussed. The implementation process of related asset allocation strategies is clarified. The theoretical research shows that the negative strategy is simple and practical and the positive strategies may yield higher returns.。At the level of empirical analysis, the sample data is divided into training samples and empirical samples.。Based on the training sample and the mean-variance model, the baseline of the personal pension asset allocation under the constraints is determined. Subsequently, the numerical simulation analysis and comparison of the positive asset allocation strategy and the negative asset allocation strategy were carried out based on the empirical samples. The result shows that both the ABSTRACT III negative strategy and the positive strategy can effectively improve the return of the investment portfolio. And the positive strategy has better returns and higher requirements for the professionalism of investors compared with the negative strategy. But the negative strategy is more suitable for the ordinary pension investors because of the simple operation and high possibility of higher returns. Finally, the thesis concludes recommendations for personal pension investment. First, investors should rationally plan the allocation of personal pension assets to avoid a single investment category. Next in importance, when implementing dynamic adjustment, people should choose the asset allocation rebalancing strategy or the positive asset allocation strategy according to the personal actual situation. Finally, focusing on monitoring the capital market in accordance with the chosen dynamic adjustment strategy. Keywords: Asset Allocation，dynamic adjustment，personal pension investment 目 录 IV 目 录 第一章 绪论 .................................................................................................................... 1 1.1 研究背景 ............................................................................................................. 1 1.1.1 老龄化问题与个人养老资产配置 .......................................................... 1 1.1.2 社会养老体系与个人养老资产配置 ...................................................... 2 1.2 研究问题的提出 ................................................................................................. 3 1.2.1 实施资产配置动态调整时的分歧 .......................................................... 3 1.2.2 个人养老资产配置动态调整问题的提出 .............................................. 3 1.3 论文结构安排 ..................................................................................................... 4 1.4 本章小结 ............................................................................................................. 4 第二章 研究现状及分析 ................................................................................................ 6 2.1 资产配置理论的演进 ......................................................................................... 6 2.2 与个人养老资产配置相关的金融理论 ............................................................. 8 2.3 资产配置策略的类别 ......................................................................................... 9 2.4 本章小结 ........................................................................................................... 10 第三章 个人养老资产配置策略的对比分析和流程 .................................................. 12 3.1 我国家庭资产配置的现状 ............................................................................... 12 3.2 资产配置策略的对比分析 ............................................................................... 15 3.2.1 资产配置的作用 .................................................................................... 16 3.2.2 战略资产配置与资产配置动态调整的差异 ........................................ 16 3.2.3 两种动态调整策略的基础理论分歧 .................................................... 17 3.2.4 两种动态调整策略的优缺点分析 ........................................................ 17 3.3 个人养老资产类别 ........................................................................................... 19 3.3.1 个人养老资产的划分 ............................................................................ 19 3.3.2 个人养老金融资产 ................................................................................ 19 3.4 个人养老资产配置