| With the opening of the market,the Chinese insurance industry has entered a process of rapid growth.At the same time,new competitors continue to join the insurance market,resulting in increasingly fierce competition among companies,making insurance companies the most powerful tool for investment,and an important factor affecting the company’s ability to continue operations.One is the different asset allocation strategies of each company.Through the optimization of China’s insurance industry asset allocation strategy,it will help improve the insurance company’s investment profit rate,thus promoting long-term stable and healthy growth.Starting from behavioral finance,this paper extends the Black-Litterman model widely used in the stock market to the insurance market,adds indicators that can represent the investor’s main viewing method,and builds a fund allocation model for the insurance company with the subjective view method.Relevant policy restrictions require that the optimal asset allocation weight of the insurance company be obtained by optimizing the analysis method.The main body is divided into 6 parts.The first chapter is the introduction part.It puts forward the problems discussed in this paper and the existing research methods and ideas.It shows the practical significance of the research on asset allocation strategy of insurance industry,and expounds the research content,methods and innovations of this paper.The literature review section summarizes the research on the Black-Litterman model and the research on the investment strategy of the insurance industry.The second chapter summarizes the theoretical bass and empirical methods of the article,expounds the Markowitz theory and CAPM theory separately,and expounds the measurement methods applied in this paper,including Black-Litterman model and VEC model.The third chapter draws on the experience of the mature insurance market development,compares the current situation of the insurance market and asset allocation in the United States,the United Kingdom,and Japan,and the differences between domestic market development and asset allocation,and at the same time finds the defects reflected in the asset allocation in the industry.It also reflects the value of asset allocation strategy optimization in the insurance industry.The fourth chapter is the empirical research part of this paper.The first step is to use the monthly data of the insurance market of 2008.10-2018.10 for a total of 86 months to construct the VEC model for the three macroeconomic indicators and the time series of the seven types of financial assets.Asset prior rate of return.In the fifthchapter,the obtained prior rate of return is added to the Black-Litterman model as the main viewing method parameter,and the asset allocation result under Black-Litterman is obtained,and the differences of different types of investors in the allocation of assets are discussed.Consider the China Insurance Regulatory Commission’s capital supervision limit for the insurance industry,and obtain the optimal asset allocation portfolio under regulatory conditions.Finally,by comparing the use of Markowitz model for asset allocation,market type,considering the ratio of supervision of the insurance industry to the use of insurance funds,and the expected benefits without considering the regulatory ceiling,the Markowitz model is too conservative.The Black-Litterman model,which is subject to the subjective view under regulatory conditions,is closer to the real market state than the other three cases.The sixth chapter summarizes and analyzes the paper,and concludes that the insurance company’s investment return rate obtained by using the Black-Litterman model is better than the investment strategy under the Markowitz model.It puts forward feasible suggestions for the internal capital investment of insurance institutions,the supervision of China’s insurance industry and the long-term stable development of financial markets,and elaborates the research direction.Due to the limitations of the available data,the research results still can not fully describe the real situation of the market.Therefore,by continuously obtaining more data,the research is more reasonable,which is also the future research direction. |
