中文摘要：

动态资产配置模型是现代资产管理理论中最具价值的理论之一。本文使用Sorensen（1999）提出的拟动态规划方法寻求保险人效用最大化的投资策略，求得在不同风险偏好和投资限制下的各期限债券以及股票的配置比例。研究发现：保险人的风险偏好影响股票持有比例，20年投资期间下不同风险偏好投资者的股票持有数量会收敛到理性投资水平；债券组合中只舍有最短和最长年期债券，两种债券的持有量随时间此消彼涨，其他年期债券持有为零；负债持续期缺口是影响债券组合配置的主要因素。

英文摘要：

The dynamic asset allocation model is one of the most valuable theories in the subject of modern asset management. In this paper, we used quasi dynamic planning method proposed by Sorensen（1999） to seek the insur- ance investment strategy with maximum utility, and reached at the bond and stock allocation in term of different risk preferences and investment constraints. The study found that the insurer＇ s risk preference affected its stock holding ratio;stock holdings of investors with different risk preferences would converge to the level of rational investment in a 20 - year investment period;the bond portfolio contained only the shortest and longest maturity bonds, and their positions shifted as time went by, and other bond holdings were zero. Duration gap with the liability was the main factor affecting the bond portfolio allocation.