Study On Portfolio Optimization Of P-Life Insurance Company Based On Black-Litterman Model

Life insurance companies are one of the important institutional investors in the capital market,but they are now facing many challenges: the scale of investment on the asset side continues to increase,and there is greater risk of reinvestment in the environment of falling interest rates;the liability side has been subject to regulatory supervision in recent years.Due to policy constraints,the growth rate of premium income continues to slow,and future policy profit margins will be further compressed.In this context,how insurance companies,especially life insurance companies,use insurance funds efficiently has become an urgent problem to be solved at the moment.The Black-Litterman model was first proposed by Fisher Black and Robert Litterman in 1992.This model adds the subjective opinions of investors and modifies the prior expected return on the basis of the equilibrium return,which is an improvement of Markowitz's portfolio theory and makes the optimized expected return more reasonable.This paper uses the Black-Litterman model and selects seven types of assets such as bank time deposits,treasury bonds,corporate bonds,financial bonds,stocks,funds,and infrastructure to conduct investment portfolio optimization research based on the characteristics of P-Life Insurance Company's asset allocation.This paper uses the vector autoregressive model(VAR)to quantify the investors' views by forecasting the return on assets in combination with the macroeconomic situation.Under the two constraints of the regulatory authorities' supervision of major types of assets and the minimum capital requirement of the second generation of risk compensation,the paper obtains the asset weight of maximum utility,and uses a variety of methods to evaluate the investment performance.The empirical results show that the weight of the asset ratio output by the model is related to the subjective view of investors.In the optimized portfolio,the asset weight that investors are optimistic about increases,while the asset weight that is not favored by investors will be reduced.In addition,the paper uses expected return,standard deviation,sharp ratio and in-risk value to measure the effect of the model.The results show that although the volatility of asset return rate has increased after optimization,the risk value is slightly higher than the existing market portfolio,but it is still within the scope of supervision.The portfolio optimized by Black-Litterman model can achieve higher returns,and its sharp ratio is higher than the original portfolio of p life insurance company.It shows that the use of Black-Litterman model has a positive effect on improving the investment income and optimizing the asset ratio of P-life insurance company.The empirical results show that when making insurance asset allocation decisions,P-life insurance companies should pay more attention to macroeconomic trends,focus on equity assets and alternative asset investments,release the lowest risk capital occupation under the second generation of compensation,establish a complete investment portfolio system in conjunction with the asset-liability management system,strengthen the construction of professional talents for insurance companies,and adjust the model regularly.