Research On Pension Fund Investment Based On CVaR-Copula And Its Application

In order to preserve the pension fund and accumulate its value, According to China's situation, we select the stock, national debt, the bond and the bank accounting as the investment tools. We derive correlated structures of the stock, national debt and the bond by using the Copula function and analyze the marginal distribution of risk assets by using GARCH models. Copula function and GARCH theory are used to build a combination distribution of the three kind of assets return. Meanwhile an optimal portfolio selection model is considered under the minimal goal of CVaR to build CVaR-Copula model. Combining with the historical data and using the method of Monte Carlo simulation, we analyze the scenario of the future return. Finally, we obtain the optimal strategy by using linear programming. The numerical results verified that the strategy can reduce portfolio management risk and get profits. It provided a theory and the practice useful reference.