Model And Analysis Of Investment Combination On Pension Fund Of China

In China,the traditional strategy of pension fund investment is bank deposits and national bonds.In the late 1990s,with large influxes of capital and larger size of circulation,stock market boomed quickly,and financial derivatives trading became more standardized and efficient as well.However,yields of national bonds and bank deposits kept dropping,which were unable to maintain and increase the value of pension fund.Meanwhile,continuous aging of the population leads to the fall of pension fund's income and payment ratio.Hence,it is necessary to realize the future payment crisis our country's pension fund is facing and take action now,to expand the fund's investment scope and improve the yield of pension assets,so as to deal with structural changes of the population in the near future.Assuming that pension fund merely invests in bank deposits,stocks and bonds,expectations and variances of whose yields are estimated by statistical data,and correlations analyzed,this paper selects the growth rates of consumer price index,urban residents disposable income per capita and gross domestic product,as the three levels of target yields of pension fund,then,set up the Markowitz investment portfolio model to obtain the optimal proportions of bank deposits, stocks and bonds respectively,and it also indicates that improving pension fund's yield would require more assets invested in stocks,which,with the numerical results of this paper,offers our government reasonable and valuable advices on the reformation of pension fund.