An Empirical Study On Optimal Portfolio Strategy Of Insurance Fund

With the aging population in China,changes in the population structure resulting from family planning policies,the continuous accumulation of family wealth,the increase in pensions,the merger of the China Insurance Regulatory Commission and the China Banking Regulatory Commission,and the breaking of rigid payments,the insurance industry is expected to achieve greater development in the future.As a result,the total amount of insurance liabilities will also rise.As a result,a large amount of idle investable funds are provided for insurance assets,but this also brings pressure on asset allocation for Chinese insurance companies to some extent.Under this background,how insurance companies adjust their investment strategies and how to allocate different kinds of investment assets and detailed asset allocations under the same type of investment assets is a question worthy of study.This article first analyzes the current situation of China's insurance fund investment from three perspectives:the scale of China's insurance funds,the investment channels,and the return on investment.Then the analysis of the status of international insurance funds from the aspects of insurance fund application characteristics and regulatory status and the insurance funds portfolio strategy are mainly affected by the liabilities of insurance funds,macroeconomic environment,capital market investment environment,and insurance regulatory policies.Inspiration.Finally,we use the mean-VaR model based on time-weighted method to obtain the optimal investment portfolio of China's insurance funds under current regulatory conditions.From the effective frontier of the portfolio,it can be seen that the higher the expected return of the portfolio,the greater the maximum losses that may be incurred;the optimal portfolio investment focuses on investments in treasury bonds,corporate bonds and long-tern equity investments;if you want to improve the portfolio The rate of return required to properly increase the proportion of investment in long-term equity investments and real estate assets.Based on the actual investment return rate of China's insurance funds,the calculated ratio of the optimal investment ratio of the model is compared with the actual investment ratio.The comparison results show that if we want to improve the investment return on the effective frontier,our insurance funds can guarantee the safety and flow of funds.On the basis of sex,gradually reduce the proportion of bank deposits;appropriately reduce the proportion of investment in stocks;aim at long-term holding when investing in stocks;reduce the turnover rate of stock investment;appropriately increase the proportion of long-term equity investment;in the bond market If the investment is limited,the funds may be appropriately invested in infrastructure construction;the proportion of insurance funds allocated to some overseas emerging market bond products may be appropriately increased;and after the introduction of the new asset management regulations,the investment proportion of trust banking wealth management products shall be appropriately reduced.