Research On The Management Of Occupational Pension Fund Investment

It is an inevitable choice for the occupational pension fund to invest in the capital maket to obtain higher return. The return of the investment in the capital market is crucial, because it can determine the destiny of the occupational pension fund.So this make the management of occupational pension fund investment become the most important thing in the entire operational process.The purpose of this paper is to show how stochastic optimal control theory can be applied to find an optimal investment policy before retirement in a defined contribution pension plan.First, this paper states the present status and characteristic of occupational pension fund, especially focus on the specificity of it's investment.And then analyses the general situation of the financial market and the national policy on the occupational pension fund investment, finds out some financial product which can be invested for occupational pension fund.For the better asset allocation of the occupational pension fund, this paper traverses several factors which have important effect on the asset allocation of the occupational pension fund.It can be reference for the further research.The most important success of this paper is acquiring a mathematic model which can calculate the optimal portfolio of the occupational pension fund by using the classical tool of stochastic optimal control and stochastic programming.Bases on the model, this paper uses some historic data to simulate the investment of occupational pension fund, and makes analysis about the result.Finally, considering the simulative result, this paper puts forward some advice about the national policy on occupational pension fund.