《保险研究》20220906-《保险修正投资组合模型及有效前沿》（杨浩）

［摘   要］研究影响投资者对保险产品需求的各种约束条件，不妨从厘清具有决策指导意义的投资组合模理论出发。本文通过建立将保险产品作为一项金融工具时的金融投资组合模型，研究了最优投资组合决策及有效前沿的相关问题，提出了真实投资组合模型、保险修正投资组合模型和真实有效前沿、保险修正有效前沿，论证了保险修正投资组合模型的有效性，在马科维茨投资组合理论的基础上进行了拓展延伸。保险修正投资组合模型及保险修正有效前沿的提出，将保险产品与其他金融产品并列，作为投资者进行投资决策时可供选择的金融工具，将投资者对保险产品的需求置于金融投资决策框架内，为投资者进行更有效的投资组合决策提供了理论依据和方法。

［关键词］马科维茨；投资组合模型；有效前沿；保险消费；金融资产

［作者简介］杨浩，中国银行保险监督管理委员会财务会计部(偿付能力监管部)。

Portfolio Model and Efficient Frontier Modified with Insurance

YANG Hao

Abstract：To study the various constraints that affect investors′ consumption demand for insurance products,we may start from clarifying the portfolio model theory with decision-making significance.By establishing the financial portfolio model with insurance product being taken as a financial instrument,this paper studied and demonstrated the related problems of the optimal portfolio decision and the effective frontier in detail,put forward the real portfolio model,the portfolio model modified with insurance，the real effective frontier,and the effective frontier modified with insurance,and demonstrated the effectiveness of the portfolio model modified with insurance.This represented an extension and expansion of Markowitz′s portfolio theory.The portfolio model modified with insurance and the effective frontier modified with insurance juxtaposed insurance products with other financial products as financial tools for investors to choose when making investment decisions,and put investors′ consumption demand for insurance products within the framework of financial investment decisions,providing theoretical basis and methods for investors′ more effective investment portfolio behaviors.

Key words：Markowitz;portfolio model;effective frontier;insurance consumption;financial assets