Study On The Portfolio Optimization Of Insurance Investment In China

In this paper, the writer construct Markowitz portfolio model based on Markowitz portfolio theory to make a research on insurance investment portfolio problem in China, in which the Probability and Statistics, Optimization , Linear Algebra, and other relevant mathematical theory are used.This paper make a comparative analysis between Markowitz model and Sharp-index model first, point out the advantages of Markowitz model,and make a comparative analysis about portfolio of insurance between the United States, the United Kingdom, Japan and the Chinese Taiwan. Based on the successful experience of insurance investment in foreign market, and combined with the practices of insurance in china, the writer point out that the main issues of portfolio of insurance investment in china. Based on above content, the writer point out that the insurance companies should adjust the investment structure, spread the investment risks further, and improve investment yield.Based on the portfolio optimization theory proposed by Markowitz, the writer improve Markowitz model further, use the function of EXCEL to simplify the calculation, and the investment ratio will be added to the restrictions in the model. Using the simplified portfolio model, the writer get the most superior combination between funds, stocks, and bank deposits, their respectively proportion are 14.59%, 24.90% and 45.52%. The insurance company should increase the proportion of rights and interests investment, and decrease the proportion of bank deposit through analysising the condition of insurance investment in china.