考虑社保基金关联账户投资特点,建立分账户组合投资选择模型指导投资,分别在无市场摩擦和不允许无风险借贷条件下求出最优策略,并在各个分账户之间合理分配总账户投资收益.社保基金分账户组合投资策略通过提高投资效率、降低安全准备金、精确化风险承受水平,改善社保基金投资,并使得投资策略更易在各个分账户中实行.最后通过算例进行验证.%Considering the characteristic of the cognate accounts for the social security fund, we established the portfolio optimization model with sub-accounts to inform the investment.We found the optimal portfolios of the model with no market friction or with no-riskless-borrowing constraint and distributed the profit among the sub-accounts.The strategies can better the investment of the social security fund by improving the investment efficiency, reducing the liquidity reserve and the more accurate level of risk tolerance.And they can also help to realize the portfolio among the sub-accounts.Lastly, a numerical example was given to validate the conclusion.
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