CN106296405A - A kind of And Methods of Computer Date Processing for dynamically configuration endowment assets and device thereof - Google Patents

Abstract

The invention provides a kind of And Methods of Computer Date Processing for dynamically configuration endowment assets, from underlying assets data storage cell, read the historical information of underlying assets；Calculate the related data of all kinds of assets；Calculate the investor the born risk upper limit at all ages and classes；From investor information data storage device, read the age information of storage investor；Set up the investor static data synopsis in the born risk upper limit of all ages and classes, be stored in static look-up-table memory element；Determine that investor can bear greateset risk, calculate the time series of the target stability bandwidth of the asset portfolio of investor, be calculated the asset portfolio configuration of investor, and solve and export the form of annual alternative ratio between investments.The method enables to investor can plan endowment fund required after retirement more subtly, have evaluated more scientificly assets up to expected yield.Meanwhile, present invention also offers the device that the method is corresponding.

Description

A kind of And Methods of Computer Date Processing for dynamically configuration endowment assets and device thereof

Technical field

The present invention relates to a kind of And Methods of Computer Date Processing for dynamically configuration endowment assets and one for dynamically The computer data processing unit of configuration endowment assets.

Background technology

Chinese population steps into the aging stage, and individual's endowment investment is progressively risen, and becomes the important of public old-age pension Supplement.

Traditional old-age pension asset management pattern, according only to investor estimation of Age risk partiality, does not consider to be invested The expected yield produced, and the accumulative assets vicarious function to living expense after retirement.

Substituting endowment investment, is a kind of investment way based on specific objective.For most of investor, moving back Stopping period maintains current animation and to pay its daily expenses be one of the main target invested.But, the most also than Relatively lack the method or apparatus that can accurately calculate substituting endowment investment.

Summary of the invention

And Methods of Computer Date Processing for dynamically configuration endowment assets in this paper, it is possible to by dynamic assets Various different underlying assetses are dynamically configured by configuration exactly, thus meet investor and move for endowment assets The demand of state configuration.Meanwhile, present invention also offers correspondingly at the computer data of dynamically configuration endowment assets Reason device.

The invention provides a kind of for the dynamic And Methods of Computer Date Processing configuring endowment assets, wherein,

A (), from underlying assets data storage cell 101, is read the historical return of underlying assets, Historic Volatility, is led to Goods expansion rate, risk free return；

B () passes through asset risk and expected yield computing unit 102, calculate the expected yield of all kinds of assets, assets Risk and both correlation matrixs；

C () can bear in Risk parameter computing unit 103 in the maximum that all ages and classes is corresponding to investor, input all kinds of The expected yield of assets, asset risk and both correlation matrixs, calculate the investor the born risk upper limit at all ages and classes；

D (), from investor information data storage device 201, is read the current age d1 of storage investor, is estimated retirement Age d2, estimation age at death d3；

E () utilizes the most calculated investor in the born risk upper limit of all ages and classes, set up investor in difference The static data synopsis of the born risk upper limit at age, is stored in the age of investor and the maximum static state that can bear risk In synopsis memory element 001；

F () can bear greateset risk processing unit 002 by investor, can bear risk from the age of investor with maximum Static look-up-table memory element 001 and investor information data storage cell 201 in obtain data, first choose an initial vacation Fixed maximum can bear risk, and then be calculated and can bear risk function, and judges to bear whether risk function value exceedes The stability bandwidth upper limit, can bear risk function value if it exceeds then return this and proceed iteration, if less than, it is defined as Investor can bear greateset risk；

(g) by investor investment configuration computing unit 003, calculate investor asset portfolio target stability bandwidth time Between sequence；

H (), by substituting old-age pension investment configuration computing unit 004, is calculated the asset portfolio configuration of investor；

I () is calculated and output unit 005 by alternative ratio between investments, solve and export annual alternative ratio between investments Form, wherein: first, be calculated the time series of expected yield, secondly, definition cash flow is stored in as negative, cash Stream is extracted as positive number, and then, the value sum calculating broken line cash flow is 0, finally, is calculated alternative ratio between investments.

Preferably, described underlying assets is divided into two classes: bond and stock.

Preferably, in described asset risk and expected yield computing unit 102, asset risk and expection is used to receive Benefit rate assessment models, for calculating the expected yield of all kinds of assets, asset risk and both correlation matrixs.

Preferably, Risk parameter computing unit 103 can be born in described investor in the maximum that all ages and classes is corresponding In, use linear decrease function as risk upper limit function, be used for calculating the investor the born risk upper limit at all ages and classes.

Preferably, in investor information data storage cell 201, exist for storing the current age d1 of investor 15-50 year between, estimate retirement age d2 50-65 year between, estimate age at death 65-105 year between.

Preferably, in age and the maximum of investor can bear the static look-up-table memory element 001 of risk, use Following iterative algorithm is calculated maximum and can bear risk, for storing the investor the born risk upper limit at all ages and classes Static data synopsis:

(I) setting constant α value to plan as curvature, the span of described constant α value is: 1.01 ＜ α ＜ 1.50；

(II) choose one it is initially assumed that maximum can bear risk σ_max；

(III) it is calculated and can bear risk function σ_d:

$\mathrm{\σ}\left(d\right)=\frac{{\mathrm{\σ}}_{\max }+{\mathrm{\σ}}_{\min }}{2}+(\frac{{\mathrm{\α}}^{-(d-\frac{d_1+d_3}{2})}}{1+{\mathrm{\α}}^{-(d-\frac{d_1+d_3}{2})}}-\frac{1}{2})\·\frac{1+{\mathrm{\α}}^{-\frac{d_3-d_1}{2}}}{1-{\mathrm{\α}}^{-\frac{d_3-d_1}{2}}}\·({\mathrm{\σ}}_{\max }-{\mathrm{\σ}}_{\min }).$

(IV) judge to bear risk function σ_dWhether value exceedes the stability bandwidth upper limit,

If risk function σ can be born_dValue exceedes the stability bandwidth upper limit, then return to step (II), again choose initial maximum Risk σ can be born_max, and perform step (III), (IV) successively；

If risk function σ can be born_dValue is not above the stability bandwidth upper limit, i.e. approves that this maximum can bear risk σ_max。

It is chosen to be the curvature planning of constant α value, that reflects the increase at the age along with people, the speed that risk partiality successively decreases Degree.It is highly preferred that the span of described constant α value is: 1.10 ＜ α ＜ 1.30；Most preferably, the value of described constant α value It is: α=1.20.

Preferably, investor investment configuration computing unit 003, use formula

For calculating the time series of the target stability bandwidth of the asset portfolio of investor.

Preferably, substituting old-age pension investment configuration computing unit 004, need to meet formula group:

Configure for being calculated the asset portfolio of investor.

Preferably, calculated by alternative ratio between investments and output unit 005 solves and export annual alternative During the form of ratio between investments,

First, the time series of the weight configuration obtained according to substituting old-age pension investment configuration computing unit 004 and money The assets expected yield that product risk and expected yield computing unit 102 obtain, is calculated the time sequence of expected yield Row:

Secondly, cash flow sequence is definedThe wherein cash flow between age current age d1 and estimation retirement age d2 It is stored in as negative, the cash flow extraction positive number between estimation retirement age d2 and estimation age at death d3；

Then, cash flowPass through earning rateDiscount so that the value sum at anticipated age at death d3 is 0:

$\underset{d=d_1}{\overset{d_3}{\Σ}}\stackrel{\→}{k}\left(d\right)\·\stackrel{\→}{r}\left(d\right)=0.$

Finally,It is divided by from molecule denominator and divides out, obtain alternative ratio between investments q/p of investment return:

Wherein, p is ratio between investments before retirement, and q is withdrawal ratio after retirement.

The present invention additionally provides a kind of computer data processing unit for dynamically configuration endowment assets simultaneously, including:

Underlying assets data storage cell 101, for storing the historical return of underlying assets, Historic Volatility, currency Expansion rate, risk free return；

Asset risk and expected yield computing unit 102, for calculating the expected yield of all kinds of assets, asset risk And both correlation matrixs；

Investor can bear Risk parameter computing unit 103 in the maximum that all ages and classes is corresponding, is used for calculating investor The born risk upper limit at all ages and classes；

Investor information data storage cell 201, for store investor current age d1, estimate retirement age d2, Estimate age at death d3；

The age of investor and the maximum static look-up-table memory element 001 that can bear risk, be used for storing investor and exist The static data synopsis of the born risk upper limit of all ages and classes；

Investor can bear greateset risk processing unit 002, from the age of investor and the maximum static state that can bear risk Synopsis memory element 001 and investor information data storage cell 201 obtain data, first chooses one it is initially assumed that Can bear greatly risk, and then be calculated and can bear risk function, and judge to bear whether risk function value exceedes stability bandwidth The upper limit, can bear risk function value if it exceeds then return this and proceed iteration, if less than, it is defined as investor Greateset risk can be born；

Investor investment configuration computing unit 003, for calculating the time of the target stability bandwidth of the asset portfolio of investor Sequence；

Substituting old-age pension investment configuration computing unit 004, for being calculated the asset portfolio configuration of investor；

Alternative ratio between investments calculates and output unit 005, for solving and export annual alternative ratio between investments Form, wherein: first, is calculated the time series of expected yield, and secondly, definition cash flow is stored in as negative, cash flow Being extracted as positive number, then, the value sum calculating broken line cash flow is 0, finally, is calculated alternative ratio between investments.

Preferably, described underlying assets is divided into two classes: bond and stock.

Preferably, in described asset risk and expected yield computing unit 102, asset risk and expection is used to receive Benefit rate assessment models, for calculating the expected yield of all kinds of assets, asset risk and both correlation matrixs.

Preferably, Risk parameter computing unit 103 can be born in described investor in the maximum that all ages and classes is corresponding In, use linear decrease function as risk upper limit function, be used for calculating the investor the born risk upper limit at all ages and classes.

Preferably, in investor information data storage cell 201, exist for storing the current age d1 of investor 15-50 year between, estimate retirement age d2 50-65 year between, estimate age at death 65-105 year between.

Preferably, in age and the maximum of investor can bear the static look-up-table memory element 001 of risk, use Following iterative algorithm is calculated maximum and can bear risk, for storing the investor the born risk upper limit at all ages and classes Static data synopsis:

(I) setting constant α value to plan as curvature, the span of described constant α value is: 1.01 ＜ α ＜ 1.50；

(II) choose one it is initially assumed that maximum can bear risk σ_max；

(III) it is calculated and can bear risk function σ_d:

$\mathrm{\σ}\left(d\right)=\frac{{\mathrm{\σ}}_{\max }+{\mathrm{\σ}}_{\min }}{2}+(\frac{{\mathrm{\α}}^{-(d-\frac{d_1+d_3}{2})}}{1+{\mathrm{\α}}^{-(d-\frac{d_1+d_3}{2})}}-\frac{1}{2})\·\frac{1+{\mathrm{\α}}^{-\frac{d_3-d_1}{2}}}{1-{\mathrm{\α}}^{-\frac{d_3-d_1}{2}}}\·({\mathrm{\σ}}_{\max }-{\mathrm{\σ}}_{\min }).$

(IV) judge to bear risk function σ_dWhether value exceedes the stability bandwidth upper limit,

If risk function σ can be born_dValue exceedes the stability bandwidth upper limit, then return to step (II), again choose initial maximum Risk σ can be born_max, and perform step (III), (IV) successively；

If risk function σ can be born_dValue is not above the stability bandwidth upper limit, i.e. approves that this maximum can bear risk σ_max。

It is chosen to be the curvature planning of constant α value, that reflects the increase at the age along with people, the speed that risk partiality successively decreases Degree.It is highly preferred that the span of described constant α value is: 1.10 ＜ α ＜ 1.30；Most preferably, the value of described constant α value It is: α=1.20.

Preferably, investor investment configuration computing unit 003, use formula

For calculating the time series of the target stability bandwidth of the asset portfolio of investor.

Preferably, substituting old-age pension investment configuration computing unit 004, need to meet formula group:

Configure for being calculated the asset portfolio of investor.

Preferably, alternative ratio between investments calculates and output unit 005, is solving and exporting annual alternative investment During the form of ratio,

First, the time series of the weight configuration obtained according to substituting old-age pension investment configuration computing unit 004 and money The assets expected yield that product risk and expected yield computing unit 102 obtain, is calculated the time sequence of expected yield Row:

Secondly, cash flow sequence is definedThe wherein cash flow between age current age d1 and estimation retirement age d2 It is stored in as negative, the cash flow extraction positive number between estimation retirement age d2 and estimation age at death d3；

Then, cash flowPass through earning rateDiscount so that the value sum at anticipated age at death d3 is 0:

$\underset{d=d_1}{\overset{d_3}{\Σ}}\stackrel{\→}{k}\left(d\right)\·\stackrel{\→}{r}\left(d\right)=0.$

Finally,It is divided by from molecule denominator and divides out, obtain alternative ratio between investments q/p of investment return:

Wherein, p is ratio between investments before retirement, and q is withdrawal ratio after retirement.

The present invention is, by people for the dynamically And Methods of Computer Date Processing of configuration endowment assets and the advantage of device thereof All one's life be planned to two important investment stage, i.e. capital accumulation phase and endowment fund extract the phase, different from the capital accumulation phase, Extract phase most of investor in endowment fund and lack stable revenue source to pay its daily expenses.This method is by advance Set the excessive risk that each age bracket can bear, calculate the income substitution rate after retirement, give after this makes an investment in retirement The actual replacement effectiveness that can bring so that the endowment fund that investor is required after can planning retirement more subtly.Meanwhile, In the method, also incorporate inflation, asset risk, the impact of assets dependency, have evaluated more scientificly assets up to Expected yield.

Accompanying drawing explanation

Fig. 1 is the flow chart for the dynamically And Methods of Computer Date Processing of configuration endowment assets of the present invention.

Fig. 2 is the schematic diagram of S-shaped expection stability bandwidth function.

Fig. 3 is that the different risk partiality corresponding to expection stability bandwidth function under various initial outlay age situation is bent Line.

Fig. 4 is the schematic diagram that the substituting old-age pension of investor of the present invention makes an investment in the weight on stock.

Detailed description of the invention

Below with reference to Figure of description, describe the calculating being preferably used in dynamically configuration endowment assets of the present invention in detail Machine data processing method and the computer data processing unit being preferably used in dynamically configuration endowment assets.

Now, having one is currently the investor of 25 years old, it is contemplated that retirement in 60 years old, expects according to its health and family history Life-span is 90 years old.The present annual income of this investor is 10 yuan/year, according to macroeconomy and this investor human quality, averagely For, the annual income of this investor has the rate of increase of 3%.Before retirement, this investor the most all can be by its annual income 10% investment to substituting old-age pension investment configuration asset portfolio on.The investment scope that this investor is liked be limited to stock and The underlying assets of two classifications of bond, because he thinks that the two classification is the most ripe and stable.Certainly, other investor are also More other underlying assets classifications, such as option, futures etc. may be selected.

For this investor, he terminates to d2-1 from the beginning of d1, and this investor puts into money according to ratio p of wage Produce combination.From the beginning of d2, terminating to d3, investor gets fund according to ratio q of d2 (during retirement) wage, as supporting Lao Jin substitutes.Long-term average rate of inflation is c, and this investor wage amount of increase is equal to inflation rate c.

For the risk partiality of this investor, along with the increase of this investor age d, investment combination can Bearing stability bandwidth is S-shaped monotonic decreasing function.The investment scope of this investor is bond and the big class assets of two, stock.In investment The all ages and classes stage d of person, it should according to the investment weight that its stability bandwidth nest egg investment combination that can bear is differently configured.

With lower part in detail, first the computer digital animation side being preferably used in dynamically configuration endowment assets of the present invention is described in detail Method.

A (), from underlying assets data storage cell 101, according to demonstrate,proving the information such as composite index in A-share, extracts stock Historical quotes, according to the conventional information of state treasure bond market, extracts the historical quotes of bond.Thus, the history of underlying assets is read Earning rate, Historic Volatility, inflation rate, risk free return.

B () passes through asset risk and expected yield computing unit 102, use asset risk and expected yield assessment mould Type, calculates the expected yield of all kinds of assets, asset risk and both correlation matrixs.This investor only invests in bond and stock Two class assets, its expected yield is u_bond、u_stock, asset risk is σ_bond、σ_stockAnd correlation matrix is ∑.Now, The expected yield and the asset risk that obtain stock and bond be:

$\mathrm{\μ}=\left(\begin{array}{c}0.05\\ 0.03\end{array}\right),\Σ=\left(\begin{array}{cc}{0.3}^2& 0\\ 0& {0.01}^2\end{array}\right)$

C () can bear in Risk parameter computing unit 103 in the maximum that all ages and classes is corresponding to investor, input all kinds of The expected yield of assets, asset risk and both correlation matrixs, use linear decrease function as risk upper limit function, calculate Investor is in the born risk upper limit of all ages and classes.

Risk parameter computing unit 103, individual investor can be born in the maximum that all ages and classes is corresponding according to investor The risk undertaken at any time shall not exceed risk upper limit function:

Y=k (x-x_max)+σ_min

Wherein, x_maxRepresent the max age of investors ' expectations, σ_minThe expection of the asset portfolio at the end of expression whole process Stability bandwidth, k is the speed (i.e. the slope of risk upper limiting line) that the risk upper limit was successively decreased with the age.By the above results and model Analyze, be calculated k=-0.004, x_max=90, σ_min=0.018.

(d) from investor information data storage device 201, read storage investor current age d1=25 year, estimate Meter retirement age d2=60 year, estimate age at death d3=90 year, the annual income of this investor is 100,000 yuan, annual annual income Rate of increase is 3%.Usually, the current age d1 of investor 15-50 year between, estimate retirement age d2 50-65 year it Between, estimate age at death 65-105 year between.

E () utilizes the most calculated investor in the born risk upper limit of all ages and classes, set up investor in difference The static data synopsis of the born risk upper limit at age, is stored in the age of investor and the maximum static state that can bear risk In synopsis memory element 001.

F () can bear greateset risk processing unit 002 by investor, can bear risk from the age of investor with maximum Static look-up-table memory element 001 and investor information data storage cell 201 in obtain data, use following iterative algorithm It is calculated maximum and can bear risk, compare at the static data of the born risk upper limit of all ages and classes for storing investor Table:

(I) setting constant α value to plan as curvature, the value of described constant α value is α=1.20；

(II) choose one it is initially assumed that maximum can bear risk σ_max；

(III) it is calculated and can bear risk function σ_d:

$\mathrm{\σ}\left(d\right)=\frac{{\mathrm{\σ}}_{\max }+{\mathrm{\σ}}_{\min }}{2}+(\frac{{\mathrm{\α}}^{-(d-\frac{d_1+d_3}{2})}}{1+{\mathrm{\α}}^{-(d-\frac{d_1+d_3}{2})}}-\frac{1}{2})\·\frac{1+{\mathrm{\α}}^{-\frac{d_3-d_1}{2}}}{1-{\mathrm{\α}}^{-\frac{d_3-d_1}{2}}}\·({\mathrm{\σ}}_{\max }-{\mathrm{\σ}}_{\min }).$

(IV) judge to bear risk function σ_dWhether value exceedes the stability bandwidth upper limit,

If risk function σ can be born_dValue exceedes the stability bandwidth upper limit, then return to step (ii), again choose initial maximum Risk σ can be born_max, and perform step (iii), (iv) successively；

If risk function σ can be born_dValue is not above the stability bandwidth upper limit, i.e. approves that this maximum can bear risk σ_max。

Herein, investor can bear the greateset risk processing unit 002 initial outlay age d1=25 according to this investor In year, obtain its rational initial stage greateset risk parameter σ_max=0.2144.

G () configures computing unit 003 by investor investment, employing formula:

Calculate the time series of the target stability bandwidth of the asset portfolio of investor.

According to S-shaped expection stability bandwidth function, the time series being calculated expection stability bandwidth is following ordered series of numbers:

$\stackrel{\→}{\mathrm{\σ}}=\[0.2144,0.2143,0.2142,0.2140,\mathrm{...},0.0181,0.0180\]$

This ordered series of numbers graphically, is i.e. expected shown in stability bandwidth function graft such as the S-shaped of Fig. 2.

Further, within investor's cycle at age from d1 to d3, the target stability bandwidth of the investment combination of risk attenuation Time series is as shown in Figure 3.Wherein, schematically illustrate add endowment investment plan age from d1=25 to d1=45 various initially Expection stability bandwidth function under investment age situation, corresponding different risk preference curve.

The initial outlay age in above-mentioned Fig. 3 with risk synopsis is:

Age	σmax
		25	0.214429672
27	0.209906903
		29	0.204970521
31	0.200348804
		33	0.196449235
35	0.191749327
		37	0.186836834
39	0.181828061
		41	0.176970565
43	0.171803275
		45	0.166776202

H (), by substituting old-age pension investment configuration computing unit 004, is calculated the asset portfolio configuration of investor.

Specifically, the result obtained according to investor investment configuration computing unit 003, as the investment in time series Guide, use all kinds of assets of storage in underlying assets data storage cell 101, be combined configuration, to meet the investment objective. For making at retirement date d2, accumulative investment total assets net value is not less than the following old-age pension of retirement date of discounting and substitutes total value, In the case of given stability bandwidth, use numerical method, calculate at any one time point, the allocation ratio model of all kinds of assets Enclose.Herein, this investor is only invested in stock and bond two class assets, and its allocation ratio needs to meet equation below:

$\left\{\begin{array}{c}{w}_1\left(d\right)+w_2\left(d\right)=1\\ w_1^2\left(d\right){\mathrm{\σ}}_1^2+w_2^2\left(d\right){\mathrm{\σ}}_2^2+2{\mathrm{\ρ\σ}}_1{\mathrm{\σ}}_2{w}_1\left(d\right)w_2\left(d\right)={\mathrm{\σ}}^2\left(d\right)\\ w_1\left(d\right),w_2\left(d\right)\≥0\end{array}\right.$

After meeting above-mentioned formula, use general disclosed asset portfolio construction method, Asset Allocation ratio can be obtained, this Place includes that stock and bond two class invests target, can calculate investment combination configuration.

UtilizeSolving equation group in module 004, obtains a burst credits reconfiguration time sequence:

$\stackrel{\→}{w_1}=\[0.7147,0.7144,0.7139,0.7134,\mathrm{...},0.0514,0.0510\]$

$\stackrel{\→}{w_2}=\[0.2853,0.2856,0.2861,0.2866,\mathrm{...},0.9486,0.9490\]$

The most substituting old-age pension makes an investment in the stock/debt configuration of different times asset portfolio.Can be calculated simultaneously, throw Ratio is extracted/is stored in the expection of money person is 6, i.e. expects the retired replacement fund that can extract after retirement every year, for current income 60%.

Wherein, the substituting old-age pension of this investor makes an investment in the weight on stock as shown in Figure 4.

I () is solving and is exporting annual alternative output investment ratio by the calculating of alternative ratio between investments with output unit 005 During the form of example,

First, the time series of the weight configuration obtained according to substituting old-age pension investment configuration computing unit 004 and money The assets expected yield that product risk and expected yield computing unit 102 obtain, is calculated the time sequence of expected yield Row:

Secondly, cash flow sequence is definedThe wherein cash flow between age current age d1 and estimation retirement age d2 It is stored in as negative, the cash flow extraction positive number between estimation retirement age d2 and estimation age at death d3；

Then, cash flowPass through earning rateDiscount so that the value sum at anticipated age at death d3 is 0:

$\underset{d=d_1}{\overset{d_3}{\Σ}}\stackrel{\→}{k}\left(d\right)\·\stackrel{\→}{r}\left(d\right)=0.$

Finally,It is divided by from molecule denominator and divides out, obtain alternative ratio between investments q/p of investment return:

Wherein, p is ratio between investments before retirement, and q is withdrawal ratio after retirement.

Specific to this investor, through above-mentioned calculating, its cash flow, investment combination stock/credits weight and stability bandwidth are as follows Shown in table:

Above section, details the computer digital animation side being preferably used in dynamically configuration endowment assets of the present invention Method.With lower part in detail, then the calculating being preferably used in dynamically configuration endowment assets of the present invention realizing above-mentioned processing method is described in detail Machine data processing equipment.

The computer data processing unit being preferably used in dynamically configuration endowment assets of the present invention, may be used for process many Plant the combination of underlying assets.Preferably, underlying assets is divided into two classes: bond and stock.

The computer data processing unit being preferably used in dynamically configuration endowment assets of the present invention, including:

Underlying assets data storage cell 101, for storing the historical return of underlying assets, Historic Volatility, currency Expansion rate, risk free return；

Asset risk and expected yield computing unit 102, use asset risk and expected yield assessment models, be used for Calculate the expected yield of all kinds of assets, asset risk and both correlation matrixs；

Investor can bear Risk parameter computing unit 103 in the maximum that all ages and classes is corresponding, uses linear decrease letter Number is as risk upper limit function, for calculating the investor the born risk upper limit at all ages and classes；

Investor information data storage cell 201, for store investor current age d1, estimate retirement age d2, Estimate age at death d3, wherein, for store the current age d1 of investor 15-50 year between, estimate that retirement age d2 exists 50-65 year between, estimate age at death 65-105 year between；

The age of investor and the maximum static look-up-table memory element 001 that can bear risk, be used for storing investor and exist The static data synopsis of the born risk upper limit of all ages and classes；

Investor can bear greateset risk processing unit 002, from the age of investor and the maximum static state that can bear risk Obtaining data in synopsis memory element 001 and investor information data storage cell 201, age and maximum in investor can Bear in the static look-up-table memory element 001 of risk, use following iterative algorithm to be calculated maximum and can bear risk, be used for Storage investor is at the static data synopsis of the born risk upper limit of all ages and classes:

(I) setting constant α value to plan as curvature, the value of described constant α value is: α=1.20；

(II) choose one it is initially assumed that maximum can bear risk σ_max；

(III) it is calculated and can bear risk function σ_d:

$\mathrm{\σ}\left(d\right)=\frac{{\mathrm{\σ}}_{\max }+{\mathrm{\σ}}_{\min }}{2}+(\frac{{\mathrm{\α}}^{-(d-\frac{d_1+d_3}{2})}}{1+{\mathrm{\α}}^{-(d-\frac{d_1+d_3}{2})}}-\frac{1}{2})\·\frac{1+{\mathrm{\α}}^{-\frac{d_3-d_1}{2}}}{1-{\mathrm{\α}}^{-\frac{d_3-d_1}{2}}}\·({\mathrm{\σ}}_{\max }-{\mathrm{\σ}}_{\min }).$

(IV) judge to bear risk function σ_dWhether value exceedes the stability bandwidth upper limit,

If risk function σ can be born_dValue exceedes the stability bandwidth upper limit, then return to step (II), again choose initial maximum Risk σ can be born_max, and perform step (III), (IV) successively；

If risk function σ can be born_dValue is not above the stability bandwidth upper limit, i.e. approves that this maximum can bear risk σ_max；

Investor investment configuration computing unit 003, uses formula

For calculating the time series of the target stability bandwidth of the asset portfolio of investor；

Substituting old-age pension investment configuration computing unit 004, needs to meet formula group:

Configure for being calculated the asset portfolio of investor；

Alternative ratio between investments calculates and output unit 005, for solving and export annual alternative ratio between investments Form, during the form solving and exporting annual alternative ratio between investments,

First, the time series of the weight configuration obtained according to substituting old-age pension investment configuration computing unit 004 and money The assets expected yield that product risk and expected yield computing unit 102 obtain, is calculated the time sequence of expected yield Row:

Secondly, cash flow sequence is definedThe wherein cash flow between age current age d1 and estimation retirement age d2 It is stored in as negative, the cash flow extraction positive number between estimation retirement age d2 and estimation age at death d3；

Then, cash flowPass through earning rateDiscount so that the value sum at anticipated age at death d3 is 0:

$\underset{d=d_1}{\overset{d_3}{\Σ}}\stackrel{\→}{k}\left(d\right)\·\stackrel{\→}{r}\left(d\right)=0.$

Finally,It is divided by from molecule denominator and divides out, obtain alternative ratio between investments q/p of investment return:

Wherein, p is ratio between investments before retirement, and q is withdrawal ratio after retirement.

Above section, details the computer digital animation dress being preferably used in dynamically configuration endowment assets of the present invention Put.

By above-mentioned preferred embodiment, describe the meter being preferably used in dynamically configuration endowment assets of the present invention in detail Calculation machine data processing method and device thereof, have the advantage that, all one's life of people is planned to two important investment stage, i.e. provides This accumulation phase and endowment fund are extracted the phase, different from the capital accumulation phase, extract phase most of investor in endowment fund and lack steady Fixed revenue source is to pay its daily expenses.This method, by presetting the excessive risk that each age bracket can bear, is counted Calculate the income substitution rate after retirement, give the actual replacement effectiveness can brought after this makes an investment in retirement so that investor can With endowment fund required after planning retirement more subtly.Meanwhile, in the method, inflation, assets are also incorporated Risk, the impact of assets dependency, have evaluated more scientificly assets up to expected yield.

The disclosed above detailed description of the invention being only the present invention, is only used for being illustrated the present invention, it is impossible to Limiting protection scope of the present invention according to this, those skilled in the art can carry out various on the premise of without departing from essence of the present invention Revise, change or replace, therefore, the various equivalent variations made according to the present invention, still fall within the scope that the present invention is contained.

Claims (22)

1. the And Methods of Computer Date Processing for dynamically configuration endowment assets, it is characterised in that

A (), from underlying assets data storage cell (101), reads the historical return of underlying assets, Historic Volatility, currency Expansion rate, risk free return；

B () passes through asset risk and expected yield computing unit (102), calculate the expected yield of all kinds of assets, assets wind Danger and both correlation matrixs；

C () in the maximum that all ages and classes is corresponding can bear Risk parameter computing unit (103), inputs all kinds of money to investor Expected yield, asset risk and both correlation matrixs produced, calculates the investor the born risk upper limit at all ages and classes；

D (), from investor information data storage device (201), is read the current age d1 of storage investor, is estimated retirement year Age d2, estimate age at death d3；

E () utilizes the most calculated investor in the born risk upper limit of all ages and classes, set up investor at all ages and classes The static data synopsis of the born risk upper limit, being stored in age of investor can bear the static of risk and compare with maximum In table memory element (001)；

F () can bear greateset risk processing unit (002) by investor, can bear risk from the age of investor with maximum Static look-up-table memory element (001) and investor information data storage cell (201) obtain data, first chooses one initially Assuming that maximum can bear risk, and then be calculated and can bear risk function, and judge to bear whether risk function value surpasses Cross the stability bandwidth upper limit, risk function value can be born if it exceeds then return this and proceed iteration, if less than, determine Greateset risk can be born for investor；

G (), by investor investment configuration computing unit (003), calculates the time of the target stability bandwidth of the asset portfolio of investor Sequence；

H (), by substituting old-age pension investment configuration computing unit (004), is calculated the asset portfolio configuration of investor；

I () is calculated and output unit (005) by alternative ratio between investments, solve and export annual alternative ratio between investments Form, wherein: first, is calculated the time series of expected yield, and secondly, definition cash flow is stored in as negative, cash flow Being extracted as positive number, then, the value sum calculating broken line cash flow is 0, finally, is calculated alternative ratio between investments.

And Methods of Computer Date Processing for dynamically configuration endowment assets the most according to claim 1, described basis money Product is divided into two classes: bond and stock.

And Methods of Computer Date Processing for dynamically configuration endowment assets the most according to claim 2, it is characterised in that In described asset risk and expected yield computing unit (102), use asset risk and expected yield assessment models, use In calculating the expected yield of all kinds of assets, asset risk and both correlation matrixs.

And Methods of Computer Date Processing for dynamically configuration endowment assets the most according to claim 1, it is characterised in that In described investor in the maximum that all ages and classes is corresponding can bear Risk parameter computing unit (103), use linear decrease Function is as risk upper limit function, for calculating the investor the born risk upper limit at all ages and classes.

And Methods of Computer Date Processing for dynamically configuration endowment assets the most according to claim 1, it is characterised in that In investor information data storage cell (201), for store the current age d1 of investor 15-50 year between, estimate Retirement age d2 50-65 year between, estimate age at death 65-105 year between.

6. according to the And Methods of Computer Date Processing for dynamically configuration endowment assets that in claim 1-5, any one is described, It is characterized in that, in age and the maximum of investor can bear the static look-up-table memory element (001) of risk, use as follows Iterative algorithm is calculated maximum can bear risk, for storing the investor static state in the born risk upper limit of all ages and classes Data synopsis:

(I) setting constant α value to plan as curvature, the span of described constant α value is: 1.01 ＜ α ＜ 1.50；

(II) choose one it is initially assumed that maximum can bear risk σ_max；

(III) it is calculated and can bear risk function σ_d:

$\mathrm{\σ}\left(d\right)=\frac{{\mathrm{\σ}}_{\max }+{\mathrm{\σ}}_{\min }}{2}+(\frac{{\mathrm{\α}}^{-\left(d-\frac{d_1+d_3}{2}\right)}}{1+{\mathrm{\α}}^{-\left(d-\frac{d_1+d_3}{2}\right)}}-\frac{1}{2})\·\frac{1+{\mathrm{\α}}^{-\frac{d_3-d_1}{2}}}{1-{\mathrm{\α}}^{-\frac{d_3-d_1}{2}}}\·({\mathrm{\σ}}_{max}-{\mathrm{\σ}}_{min}).$

(IV) judge to bear risk function σ_dWhether value exceedes the stability bandwidth upper limit,

If risk function σ can be born_dValue exceedes the stability bandwidth upper limit, then return to step (II), again chooses initial maximum and can bear Risk σ_max, and perform step (III), (IV) successively；

If risk function σ can be born_dValue is not above the stability bandwidth upper limit, i.e. approves that this maximum can bear risk σ_max。

And Methods of Computer Date Processing for dynamically configuration endowment assets the most according to claim 6, it is characterised in that The span of described constant α value is: 1.10 ＜ α ＜ 1.30.

And Methods of Computer Date Processing for dynamically configuration endowment assets the most according to claim 7, it is characterised in that The value of described constant α value is: α=1.20.

And Methods of Computer Date Processing for dynamically configuration endowment assets the most according to claim 6, it is characterised in that Investor investment configuration computing unit (003), uses formula

For calculating the time series of the target stability bandwidth of the asset portfolio of investor.

And Methods of Computer Date Processing for dynamically configuration endowment assets the most according to claim 9, its feature exists In, substituting old-age pension investment configuration computing unit (004), need to meet formula group:

Configure for being calculated the asset portfolio of investor.

11. And Methods of Computer Date Processing for dynamically configuration endowment assets according to claim 10, its feature exists In, at the report solving and exporting annual alternative ratio between investments by the calculating of alternative ratio between investments and output unit (005) During table,

First, the time series of the weight configuration obtained according to substituting old-age pension investment configuration computing unit (004) and assets The assets expected yield that risk and expected yield computing unit (102) obtain, is calculated the time sequence of expected yield Row:

Secondly, cash flow sequence is definedWherein it is stored at age current age d1 and the cash flow estimated between retirement age d2 For negative, estimating that retirement age d2 and the cash flow estimated between age at death d3 extract positive number；

Then, cash flowPass through earning rateDiscount so that the value sum at anticipated age at death d3 is 0:

$\underset{d=d_1}{\overset{d_3}{\Σ}}\stackrel{\→}{k}\left(d\right)\·\stackrel{\→}{r}\left(d\right)=0.$

Finally,It is divided by from molecule denominator and divides out, obtain alternative ratio between investments q/p of investment return:

Wherein, p is ratio between investments before retirement, and q is withdrawal ratio after retirement.

12. 1 kinds of computer data processing units for dynamically configuration endowment assets, it is characterised in that including:

Underlying assets data storage cell (101), swollen for storing the historical return of underlying assets, Historic Volatility, currency Swollen rate, risk free return；

Asset risk and expected yield computing unit (102), for calculate the expected yield of all kinds of assets, asset risk and Both correlation matrixs；

Investor can bear Risk parameter computing unit (103) in the maximum that all ages and classes is corresponding, is used for calculating investor and exists The born risk upper limit of all ages and classes；

Investor information data storage cell (201), for storing the current age d1 of investor, estimation retirement age d2, estimating Meter age at death d3；

The age of investor and the maximum static look-up-table memory element (001) that can bear risk, be used for storing investor not The cotemporary static data synopsis bearing the risk upper limit；

Investor can bear greateset risk processing unit (002), right with the static state that maximum can bear risk from the age of investor According to table memory element (001) and investor information data storage cell (201) obtain data, first choose one it is initially assumed that Maximum can bear risk, and then be calculated and can bear risk function, and judges to bear whether risk function value exceedes fluctuation The rate upper limit, can bear risk function value if it exceeds then return this and proceed iteration, if less than, it is defined as investment Person can bear greateset risk；

Investor investment configuration computing unit (003), for calculating the time sequence of the target stability bandwidth of the asset portfolio of investor Row；

Substituting old-age pension investment configuration computing unit (004), for being calculated the asset portfolio configuration of investor；

Alternative ratio between investments calculates and output unit (005), for solving and export the report of annual alternative ratio between investments Secondly table, wherein: first, is calculated the time series of expected yield, and, definition cash flow is stored in as negative, and cash flow carries Being taken as positive number, then, the value sum calculating broken line cash flow is 0, finally, is calculated alternative ratio between investments.

13. computer data processing units for dynamically configuration endowment assets according to claim 12, its feature exists It is divided into two classes: bond and stock in, described underlying assets.

14. computer data processing units for dynamically configuration endowment assets according to claim 13, its feature exists In, in described asset risk and expected yield computing unit (102), use asset risk and expected yield assessment mould Type, for calculating the expected yield of all kinds of assets, asset risk and both correlation matrixs.

15. computer data processing units for dynamically configuration endowment assets according to claim 12, its feature exists In, in described investor in the maximum that all ages and classes is corresponding can bear Risk parameter computing unit (103), use and linearly pass Subtraction function is as risk upper limit function, for calculating the investor the born risk upper limit at all ages and classes.

16. computer data processing units for dynamically configuration endowment assets according to claim 12, its feature exists In, in investor information data storage cell (201), for store the current age d1 of investor 15-50 year between, estimate Meter retirement age d2 50-65 year between, estimate age at death 65-105 year between.

17. according to the computer digital animation dress for dynamically configuration endowment assets that in claim 12-16, any one is described Put, it is characterised in that in age and the maximum of investor can bear the static look-up-table memory element (001) of risk, use Following iterative algorithm is calculated maximum and can bear risk, for storing the investor the born risk upper limit at all ages and classes Static data synopsis:

(I) setting constant α value to plan as curvature, the span of described constant α value is: 1.01 ＜ α ＜ 1.50；

(II) choose one it is initially assumed that maximum can bear risk σ_max；

(III) it is calculated and can bear risk function σ_d:

$\mathrm{\σ}\left(d\right)=\frac{{\mathrm{\σ}}_{\max }+{\mathrm{\σ}}_{\min }}{2}+(\frac{{\mathrm{\α}}^{-\left(d-\frac{d_1+d_3}{2}\right)}}{1+{\mathrm{\α}}^{-\left(d-\frac{d_1+d_3}{2}\right)}}-\frac{1}{2})\·\frac{1+{\mathrm{\α}}^{-\frac{d_3-d_1}{2}}}{1-{\mathrm{\α}}^{-\frac{d_3-d_1}{2}}}\·({\mathrm{\σ}}_{max}-{\mathrm{\σ}}_{min}).$

(IV) judge to bear risk function σ_dWhether value exceedes the stability bandwidth upper limit,

If risk function σ can be born_dValue exceedes the stability bandwidth upper limit, then return to step (II), again chooses initial maximum and can bear Risk σ_max, and perform step (III), (IV) successively；

If risk function σ can be born_dValue is not above the stability bandwidth upper limit, i.e. approves that this maximum can bear risk σ_max。

18. computer data processing units for dynamically configuration endowment assets according to claim 17, its feature exists In, the span of described constant α value is: 1.10 ＜ α ＜ 1.30.

19. computer data processing units for dynamically configuration endowment assets according to claim 18, its feature exists In, the value of described constant α value is: α=1.20.

20. computer data processing units for dynamically configuration endowment assets according to claim 17, its feature exists In, investor investment configuration computing unit (003), use formula

For calculating the time series of the target stability bandwidth of the asset portfolio of investor.

21. computer data processing units for dynamically configuration endowment assets according to claim 20, its feature exists In, substituting old-age pension investment configuration computing unit (004), need to meet formula group:

Configure for being calculated the asset portfolio of investor.

22. And Methods of Computer Date Processing for dynamically configuration endowment assets according to claim 21, its feature exists Calculate and output unit (005) in, alternative ratio between investments, solving and exporting the form of annual alternative ratio between investments During,

First, the time series of the weight configuration obtained according to substituting old-age pension investment configuration computing unit (004) and assets The assets expected yield that risk and expected yield computing unit (102) obtain, is calculated the time sequence of expected yield Row:

Secondly, cash flow sequence is definedWherein it is stored at age current age d1 and the cash flow estimated between retirement age d2 For negative, estimating that retirement age d2 and the cash flow estimated between age at death d3 extract positive number；

Then, cash flowPass through earning rateDiscount so that the value sum at anticipated age at death d3 is 0:

$\underset{d=d_1}{\overset{d_3}{\Σ}}\stackrel{\→}{k}\left(d\right)\·\stackrel{\→}{r}\left(d\right)=0.$

Finally,It is divided by from molecule denominator and divides out, obtain alternative ratio between investments q/p of investment return:

Wherein, p is ratio between investments before retirement, and q is withdrawal ratio after retirement.