CAJ | 학술논문

2000年8月，在对我国人口结构发展趋势开展深入研究之后，国务院决定设立全国社保基金作为基本养老保险基金的后备基金，以满足未来人口老龄化高峰时期的养老金支付需求。自建立之初，全国社保基金的保值增值问题一直是全社会关注的焦点。参考我国近十年的金融市场数据，运用均值-方差模型对全国社会保障基金投资现金资产、国债、金融债、企业债以及股票五种传统金融资产的有效投资边界进行实证分析，并借鉴澳大利亚未来基金资产配置的经验，提出全国社会保障基金应逐渐摆脱本土化投资偏好，将更多的资产投资于海外发达市场；并在保证股票和债券投资为主的基础上，尝试另类资产等多元化投资，以寻求投资风险的进一步分散和较为丰厚的投资回报。
2000년8월，재대아국인구결구발전추세개전심입연구지후，국무원결정설립전국사보기금작위기본양로보험기금적후비기금，이만족미래인구노령화고봉시기적양로금지부수구。자건립지초，전국사보기금적보치증치문제일직시전사회관주적초점。삼고아국근십년적금융시장수거，운용균치-방차모형대전국사회보장기금투자현금자산、국채、금융채、기업채이급고표오충전통금융자산적유효투자변계진행실증분석，병차감오대리아미래기금자산배치적경험，제출전국사회보장기금응축점파탈본토화투자편호，장경다적자산투자우해외발체시장；병재보증고표화채권투자위주적기출상，상시령류자산등다원화투자，이심구투자풍험적진일보분산화교위봉후적투자회보。
In August 2000, after depth research of the development tendency of China's population structure, the State Council decided to establish the National Social Security Fund as the reserve fund of basic pension fund to meet future payment needs. Since its inception, the issue of preserve or increase the value of the social security fund has been the focus of society. Under the guidance of portfolio theory, refer to nearly 10 years' statistical data of financial markets, using the mean-variance model, the paper did empirical analysis in five traditional financial assets including cash, treasury bonds, financial bonds, corporate bonds and equity and draw an effective investment border curve. At last, through the asset allocation analysis of Australian Future Fund, concludes that national social security fund should gradually get rid of the preferences of localization investment, invest more developed markets overseas, on the basis of investment in stocks and bonds, we should try to invest alternative assets and other assets to achieve further diversified investment risks and more substantial investment return.