Study Of Portfolio Strategy Of Pension Fund Based On Two-stage Stochastic Programming

With the increasingly prominent problems of the aging people contracture, the heavier gap of pension funds and the huge payment crisis in future, so, how to improve the level of management and explore new operational mode of pension funds , which has been an important research issue in the field of pension insurance. Based on the classical stochastic programming, combined with the basic feature of pension funds in China, as the investment yield for the objective function, under the condition of investment proportion, on the basis of linear partial information (LPI) theory and Max-min principle, the essay build a portfolio strategy model of pension funds, which provides a new model for quantitative research of pension funds. Further, added transaction cost ratio, and under the constraint of the investment policy, it builds a portfolio strategy model with transaction cost. Finally, according to the related historical data about pension funds, and using modified L-shaped algorithm, it gives the numerical test, the result shows:compared with the existed model, the model in the essay does better in conforming to the real market environment and can decrease the investment risk, helping investor realize their object, which is a feasible and effective method.