Abstract: Capital market can make the social insurance funds maintain and increase the values.Positive analysis of Chinese capital market during 1993-2006 shows:1% increase of the standard error of capital portfolio, the measurement of risk, will bring 0.221% increase of expected revenues.Therefore, social insurance funds can invest properly in stock market, though Chinese stock market has great risk, getting the dividends of economic growth and dispersing the risk.

Key words: social insurance fund, capital market, capital portfolio, revenue-risk

摘要： 资本市场为社保基金保值增值提供了基本工具。对1993—2006年中国资本市场运行的实证研究表明,作为风险量度的投资组合标准差每增加1%,可以获得0.221%的预期收益。尽管中国股票市场风险较大,但是,社保基金一定程度地参与股票市场,不仅可以享受经济增长的红利,而且可以取得投资组合分散风险的结果。

关键词: 社保基金, 资本市场, 投资组合, 收益—风险