The Analysis On The Investment Return Of Pension Funds In China

The investment in financial markets,which includes asset allocation,portfolio and risk management,has always been important areas of financial research.With its unique characteristics and rules,the investment of pension funds has aroused the great interest of many economists,and has become a hot issue in the research of modern financial theory research in recent years.According to the current situation and development trend of emerging financial markets,this article makes a theoretical and empirical analysis of the return on the investment of pension funds in China.In order to understand the main content of this article more clearly,we first review the financial mathematical model of asset allocation.Suppose there is a huge fund in a financial account,namely the pension fund,which needs to invest in the financial market and obtain investment returns.There are n kinds of investment instruments available in the financial market.The set is X={x₁,x₂,…,x_n},which the weight vector of assets allocation to various investment instruments is expressed by w={w₁,w₂,…,w_n},and value-added and security requirements of assets is expressed by s?w?.The optimal portfolio of pension funds is expressed as w^*=argmin s?w?.Accordingly,this article will mainly study the portfolio selection and return of pension funds in China.This article mainly studies and solves three problems according to the above domain of the research.Firstly,this article combines the classical mean-variance portfolio model with the risk-return portfolio model to study and construct the optimal portfolio model for China's pension fund.On this basis,this article uses exploratory methods such as local search algorithm and threshold acceptance algorithm to solve the linear and non-linear optimization problems in portfolio selection.Secondly,based on the portfolio model,this article makes an empirical study on the return on the investment of pension fund in China.Based on the actual data,this article focuses on the changes of return and risk volatility of the stock and bond.According to the empirical analysis of time series data,the return rate of stock investment is higher,but the market volatility is relatively higher;while bond is a relatively stable investment tool,but its return rate is significantly lower than that of stock.According to the portfolio model and the empirical analysis of the proportion of stock-bond portfolio,the proportion of pension funds investing in stocks can not exceed 30%,but the proportion of bonds does not have such restrictions in China.In China's stock portfolio,risk-return ratio?Rachev ratio?is used as the objective function for empirical analysis.The empirical results show that the stock weights of different industries are quite different,and the manufacturing and financial industries are in the leading position.Thirdly,according to the security characteristics of the bottom line,this article makes an empirical study on risk aversion and controlling of China's pension fund investment.The main risks faced of pension fund investment are analyzed,and apply VaR and ES tools to measure the risk of pension fund assets.we study the dynamic optimal risk Management of pension funds investment,which including the controlling of interest rate risk and inflation risk.We use time series data to simulate the evolution process and rules of interest rate risk and inflation risk of financial market investment.According to the stochastic optimal control theory and method,a dynamic optimal asset allocation model is constructed,and the theoretical expression of the optimal portfolio of pension fund asset allocation is presented,which provides a theoretical explanation for dynamic optimal risk management of pension fund investment in China.In addition to the theoretical innovation of the investment portfolio theory of pension fund in the emerging market based on the limited market hypothesis,the above three parts of research can also be regarded as the innovation of this article.The policy restrictions and unavailability of data maybe leads to some limitations in this study,but the model and conclusions are generally reliable and convincing.In addition,there are some new and exciting findings in this study.For example,the return and volatility of the stock market can be simulated according to long time series data in China,and the dynamic optimal asset allocation of pension fund investment can be achieved according to the stochastic optimal control theory and method.These new findings will open a new window for the following study in this field.