Font Size: a A A

The Research On Investment Of Enterprise Pension Fund In China

Posted on:2007-03-24Degree:DoctorType:Dissertation
Country:ChinaCandidate:W ZhangFull Text:PDF
GTID:1119360212477678Subject:Statistics
Abstract/Summary:PDF Full Text Request
With the tendency of aging society, it is necessary that we establish and consummate Chinese pension system. Enterprise pension funds are the second pillar of three pillars of social security, which as referred to in these Measures shall mean old-age supplementary insurance funds collected pursuant to enterprise pension plans formulated in accordance with law, plus proceeds from investment and operation of such funds. Because living condition of employees who are retired directly depends on the ability of investment, enhancing management and operation of pension funds is key process.The major of this research follow the principle of fully consider not only pure theory but also practice, either qualitative or quantitative. On the whole framework in research and analysis of investment operation in enterprise pension, this article separate research on three stages which are ex-ante, interim, ex-post in pension of investment process. Asset allocation and Asset liability management (ALM) is the most important issue in ex-ante. The return of pension depends on asset allocation, and a stable cash-out structure is affected by ALM. Market risk and liquidity risk is the major factor in interim. Investment performance assessment is the key issue in ex-post, it consider risk adjust performance indicator, attribution, style etc.The major innovation of the article: Using Black-Litterman model in pension asset allocation process, and giving optimal hedging ratio in a investment insurance method with option. Emphasis on ALM in pension investment, and giving two conditions of duration matching with empirical study. Using extreme theory in funding liquidity risk assess. In performance assessment of enterprise pension, this article ues Gruber model in style analyses.Finally, this article gives some advice. Firstly, we need to establish and reform environment of pension investment. We need to seriously consider system, supervisor, institution of pension etc. Secondly, in order to make good return in enterprise pension plan, we ought to consider some issues, such as risk management, insurance of return in enterprise pension plan, aim and objection of investment, third part performance measurement institutions in a pension plan.
Keywords/Search Tags:Pension System, Enterprise Pension, Enterprise Pension Investment
PDF Full Text Request
Related items