Research On Portfolio Of Housing Accumulation Fund

The housing accumulation fund system plays an important part on Chinese housing economy, and even on the whole real estate economy. In China, the housing accumulation fund is defined as: an independent public institution directly under the urban government and with non profit-making nature, which means that it is neither a government organization with financial support, nor a financial instition with independent legal person's assets. The housing accumulation fund center accumulates vast amounted, long-term, stable and low cost housing special fund by forced saving, which plays an important role in solving the contradiction between the urban housing industry and the problem of house purchasing credit funds supply-demand for low income families. The depositors sell risk to the housing accumulation fund center by paying housing funds, so that the center becomes a risk undertaker and has the ability to dominate and use the funds. According to the statistics of China constraction bureau, up to the end of 2007, the cumulative collection total of Chinese accumulation funds excesses 1600 billion, and the personal loan balance excesses 960 billon. It is such a pity if so huge funds left unused, the investment income and the underloaning income can both offset the predeterminded interest and increase the economic strength of the whole management system if invested, and thus the system business risk is reduced.The purpose of the paper is to study existed problems of housing accumulation funds, to deside a rational portfolio investment method, to reduce investment risk at maxmum and to receive largest income. The main work of the thesis and achievement are summed up as follows:1. The present situation and the existed problems of Chinese housing accumulation funds were described and analyzed in detail, based on the analysis, the definition of Underloaning was put forward; and the investment risks of accumulation funds and a plurality of classical investment models and methods were detailedly presentated.2. On the basis of classical Markovitz'Mean-Variance (MV) model, a static housing accumulation portfolio Mean-VaR (M-VaR) model based on the VaR risk measurement was proposed, in which the underloaning income was considered, and the optimal investment proportion was given too. The effects and the meanings of the underloaning income and the available proportion on the portfolio investment were analyzed, and the advantages and disadvantages of the M-VaR model were pointed out; finally, a specific example was given to verify the facibility and effectivity of the proposed model.3. A dynamic housing accumulation portfolio Dynamic Mean-Variance (DMV-VaR) model considered the underloaning income and a dynamic housing accumulation portfolio Dynamic Mean-VaR (DM-VaR) model based on the VaR risk measurement were proposed in this paper. Both the two models were solved in the paper and the optimal investment proportions were presented too. The results were compared and analyzed. The results showed that the DM-VaR model is better than DMV-VaR model in stability and the expected yield. The rationality of the two models was validated by a plurality of specific examples, and the facibility and effectivity were also proved.