نوع مقاله : پژوهشی

نویسندگان

1 دانشگاه فردوسی مشهد

2 فردوسی مشهد

چکیده

یکی از دغدغه‌های صندوق‌های بازنشستگی به‌عنوان نهادهای مالی بین نسلی، چگونگی سرمایه‌گذاری پس‌اندازهای خرد بیمه‌شدگان در حوزه‌های مختلف می‌باشد. این تحقیق به بررسی و تعیین پرتفوی بهینه سرمایه-گذاری صندوق بازنشستگی تأمین اجتماعی در گروه‌های عمده صنایع بورسی پرداخته است. داده‌های تحقیق به-صورت روزانه، برای دوره ۵/۱/۱۳۹۴ الی ۳۱/۶/۱۳۹۹ از وب‌سایت مرکز پردازش اطلاعات مالی ایران و شرکت سرمایه‌گذاری تأمین اجتماعی گردآوری و جهت تجزیه‌وتحلیل داده‌ها از مدل‌های مارکویتز، ارزش در معرض خطر (VaR) و نرم‌افزار متلب استفاده شده است. نتایج بررسی وضعیت موجود سرمایه‌گذاری‌های صندوق تأمین اجتماعی نشان داد که 9 گروه صنایع، 93% سرمایه‌گذاری‌های بورسی این صندوق را تشکیل می‌دهند. همچنین، گروه‌های «مواد و محصولات دارویی»، «سرمایه‌گذاری‌ها» و «فلزات اساسی»، به‌ترتیب از بیشترین نسبت بازدهی به ریسک و گروه‌های «بانک‌ها و مؤسسات اعتباری»، «فرآورده‌های نفتی» و «سیمان، آهک و گچ»، به‌ترتیب از کمترین نسبت بازدهی به ریسک برخوردار بوده‌اند. نتایج برآورد مدل‌ تحقیق نیز بیانگر این است که پرتفوی مارکویتز بهتر از پرتفوی VaR و واقعی جهت سرمایه‌گذاری در صندوق بازنشستگی می‌باشد. علاوه براین، بر اساس پرتفوی بهینه مارکویتز، با حفظ میزان مطلق سرمایه‌گذاری‌های بورسی، این صندوق می‌بایست سهم سرمایه-گذاری در «مواد و محصولات دارویی» را به میزان 7%، «سرمایه‌گذاری‌ها»، 2% و «فلزات اساسی»، 1%، افزایش و سهم سرمایه‌گذاری در «شرکت‌های چندرشته‌ای»، 3%، «محصولات شیمیایی»، 3%، «سیمان، گچ و آهک»، 2% و «فرآورده‌های نفتی»، 2%، کاهش دهد.

کلیدواژه‌ها

عنوان مقاله [English]

The Determination Of The Optimal Portfolio Of Pension Funds In Iran (Case Study: Social Security Fund)

نویسندگان [English]

  • raha sadat ramezanian 1
  • Mohammadtaher Ahmadishadmehri 1
  • mohamad javad razmi 2
  • Mohammad Hossein Mahdavi Adeli 2

1 Ferdowsi University of Mashhad

2 Ferdowsi University of Mashhad

چکیده [English]

One of the concerns of Pension funds, as intergenerational financial institutions, is that how we can invest to the micro-savings of the insured in different areas. This study examines and determines the optimal investment portfolio of the Social Security Pension Fund from stock exchange industries. In order to analysing research, using daily data for the period 1/5/2015 to 06/31/2020 from the website of Iran Financial Information Processing Center and Social Security Investment Company and using the model Markowitz, Value at Risk (VaR) and MATLAB software.The results show that 9 groups of industries constitute 93% of the stock investments of this fund. Also, the groups of "pharmaceutical materials and products", "investments" and "basic metals", respectively, contribute the highest return on risk ratio, and the groups of "banks and credit institutions", "product", respectively. "Oil" and "Cement, Lime and Gypsum" have the lowest returns to risk ratios, respectively. The results of the research model also indicate that the Markowitz portfolio is better than the real VaR portfolio for investing in the pension fund. One of the concerns of Pension funds, as intergenerational financial institutions, is that how we can invest to the micro-savings of the insured in different areas. This study examines and determines the optimal investment portfolio of the Social Security Pension Fund from stock exchange industries. In order to analysing research, using daily data for the period 1/5/2015 to 06/31/2020 from the website of Iran Financial Information Processing Center and Social Security Investment Company and using the model Markowitz, Value at Risk (VaR) and MATLAB software.The results show that 9 groups of industries constitute 93% of the stock investments of this fund. Also, the groups of "pharmaceutical materials and products", "investments" and "basic metals", respectively, contribute the highest return on risk ratio, and the groups of "banks and credit institutions", "product", respectively. "Oil" and "Cement, Lime and Gypsum" have the lowest returns to risk ratios, respectively. The results of the research model also indicate that the Markowitz portfolio is better than the real VaR portfolio for investing in the pension fund. In addition, according to Markowitz's optimal portfolio, the fund should increase the share of investments in "pharmaceutical materials and products" by 7%, "investments", 2% and "base metals", 1%, increase and share of investment in "multidisciplinary companies", 3%, "chemical products", 3%, "cement, gypsum and lime", 2% and " Petroleum products ", 2%, respectively.One of the concerns of Pension funds, as intergenerational financial institutions, is that how we can invest to the micro-savings of the insured in different areas. This study examines and determines the optimal investment portfolio of the Social Security Pension Fund from stock exchange industries. In order to analysing research, using daily data for the period 1/5/2015 to 06/31/2020 from the website of Iran Financial Information Processing Center and Social Security Investment Company and using the model Markowitz, Value at Risk (VaR) and MATLAB software.The results show that 9 groups of industries constitute 93% of the stock investments of this fund. Also, the groups of "pharmaceutical materials and products", "investments" and "basic metals", respectively, contribute the highest return on risk ratio, and the groups of "banks and credit institutions", "product", respectively. "Oil" and "Cement, Lime and Gypsum" have the lowest returns to risk ratios, respectively. The results of the research model also indicate that the Markowitz portfolio is better than the real VaR portfolio for investing in the pension fund. In addition, according to Markowitz's optimal portfolio, the fund should increase the share of investments in "pharmaceutical materials and products" by 7%, "investments", 2% and "base metals", 1%, increase and share of investment in "multidisciplinary companies", 3%, "chemical products", 3%, "cement, gypsum and lime", 2% and " Petroleum products ", 2%, respectively.One of the concerns of Pension funds, as intergenerational financial institutions, is that how we can invest to the micro-savings of the insured in different areas. This study examines and determines the optimal investment portfolio of the Social Security Pension Fund from stock exchange industries. In order to analysing research, using daily data for the period 1/5/2015 to 06/31/2020 from the website of Iran Financial Information Processing Center and Social Security Investment Company and using the model Markowitz, Value at Risk (VaR) and MATLAB software.The results show that 9 groups of industries constitute 93% of the stock investments of this fund. Also, the groups of "pharmaceutical materials and products", "investments" and "basic metals", respectively, contribute the highest return on risk ratio, and the groups of "banks and credit institutions", "product", respectively. "Oil" and "Cement, Lime and Gypsum" have the lowest returns to risk ratios, respectively. The results of the research model also indicate that the Markowitz portfolio is better than the real VaR portfolio for investing in the pension fund. In addition, according to Markowitz's optimal portfolio, the fund should increase the share of investments in "pharmaceutical materials and products" by 7%, "investments", 2% and "base metals", 1%, increase and share of investment in "multidisciplinary companies", 3%, "chemical products", 3%, "cement, gypsum and lime", 2% and " Petroleum products ", 2%, respectively.

کلیدواژه‌ها [English]

  • Investment Portfolio
  • Stock Industries
  • Social Security Fund
  • Markowitz Model
  • VaR Model