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首页> 外文会议>The Second International Conference on Business Intelligence and Financial Engineering(BIFE 2009)（第二届商务智能与金融工程国际会议） >Multistage Stochastic Programming Model of Portfolio Selection for Life Insurance Companies in China
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Multistage Stochastic Programming Model of Portfolio Selection for Life Insurance Companies in China

机译：中国人寿保险公司投资组合选择的多阶段随机规划模型

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摘要

In order to help Chinese life insurance companies effectively make their portfolio selection. A portfolio selection model was established by using the method of multistage stochastic programming in this paper. In this model the management and supervision reality of Chinese life insurance industry were transferred into constraints. The quarterly return rate data of Chinalife' investment and that of the assets in Chinese financial markets were gathered from 2004 to the first two quarters in 2008. A scenario tree was established by using these data. Benders Decomposition Algorithm was chosen to solve this model. Then the model was used to construct a series of portfolio for Chinalife in 2009. The portfolio showed that Chinalife should maintain over 70% of risk-free assets and less than 30% risk assets to achieve its objective of benefit and security. Also its insurance business should be concerned.
机译：为了帮助中国人寿保险公司有效地进行投资组合选择。本文采用多阶段随机规划的方法建立了投资组合选择模型。在这种模式下，中国人寿保险业的管理和监督现实被转化为约束。从2004年到2008年的前两个季度，收集了中国人寿投资和中国金融市场资产的季度回报率数据。使用这些数据建立了情景树。选择了Benders分解算法来解决该模型。然后，该模型用于构建2009年中国人寿的一系列投资组合。该投资组合表明，中国人寿应保持70％以上的无风险资产和30％以下的风险资产，以实现其收益和安全目标。还应该关注其保险业务。

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