养老金资产配下置策略分析与建议.docx

A b s t r a c t T he investm ent o f pen sio n fund s is of great im portance to the country and to its people. T herefo re, it h as alw ay s been a h eated ly d iscu ssed issu e w ith in sch o lars an d th e m ark et. R ecently, G uo S huq in g, the new p resident o f C S R C has been try in g h ard to introduce C h in as pen sion fund s to invest into stock m arket and to get b etter p ayb ack .A s a result, the safety of p ension fun ds investm ent has again beco m e a big con cern . A s an im p ortant investm ent strategy that com b ines safety to geth er w ith investm ent p rofit, constant prop ortio n p ortfo lio insurance strategy he tim e-inv ariant p ortfolio p rotection strategy have receiv ed great interest sin ce its b irth in th e late 19 70s.P lenty research es h av e tested o n its effectiv en ess an d tried to m ake adju stm en ts to im p ro v e its p erform ance. C onsidering its p ro tection effects, these tw o strateg ies m ight be a good o p tio n fo r p en sio n fun d s. H o w ev er, C P P I an d T IP P b o th h av e a d efect. W h ile th e v alue o f th e to ta l asset reach o r ev en fall below th e p ro tectio n lev el, acco rd in g to the strategy th ere sh o u ld b e n o m o re allocation o n risky assets,w h ich is o bv io u sly not feasib le in real in v estm ent. T h is pap er com bines M ean-V aR op tim ization w ih C P P I or T IP P, th us successfu lly ov ercom e th e d efects m en tio n ed ab ov e. M o reo v er, sin ce M ean -V aR o p tim izatio n and portfo lio insu rance strategy both h av e protection effects，the safety o f assets is doub le in su red . A ccord in g the em p irical resu lts, co m pared to bu y an d h o ld strateg y, the co m b ined strategy no t o n ly co ntro l th e risk s at a lo w level, b u t also m aintain the profitability at h igh stan dard . T hu s, the com b ined strategy raised u p by th is p aper can b e th e allo catio n strateg y fo r p en sio n fu n d s inv e