ISSN 1008-2204
CN 11-3979/C
孙红, 张宏, 樊兴华. 寿险投资结构实证研究[J]. 北京航空航天大学学报社会科学版, 2004, 17(3): 68-70.
引用本文: 孙红, 张宏, 樊兴华. 寿险投资结构实证研究[J]. 北京航空航天大学学报社会科学版, 2004, 17(3): 68-70.
SUN Hong, ZHANG Hong, FAN Xing-hua. Empirical Study on Investment Portfolio of Life Insurance[J]. Journal of Beijing University of Aeronautics and Astronautics Social Sciences Edition, 2004, 17(3): 68-70.
Citation: SUN Hong, ZHANG Hong, FAN Xing-hua. Empirical Study on Investment Portfolio of Life Insurance[J]. Journal of Beijing University of Aeronautics and Astronautics Social Sciences Edition, 2004, 17(3): 68-70.

寿险投资结构实证研究

Empirical Study on Investment Portfolio of Life Insurance

  • 摘要: 在论述寿险资金构成及其投资方式之后,利用马柯维茨模型分析A寿险公司投资中各资产类型的比例关系,测算不同资产配置所带来的不同期望收益率和承担的风险,并通过比较A寿险公司在马柯维茨模型中所处的位置,来考察A寿险公司的风险偏好和风险承担能力。

     

    Abstract: After discussing the capital structure and investment ways of life insurance, this paper uses Markowitz model to analyze the proportional relation of different assets in a Life Insurance Company's investment portfolio, and calculates the different expected return rates and risks of different portfolio. Finally, we examine the risk preference and risk undertook capability of a Life Insurance Company by analyzing the company's position in Markowitz Model.

     

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