Research On Pension Fund Portfolio Model In China

Endowment insurance system is one of the cores in social security system, the investment of endowment insurance fund is the key whether endowment insurance system works successfully or not. Endowment insurance fund has large scale, long term accumulation and can be easily affected by factors like currency inflation, interest rate, purchasing power, which make the maintain and increment of endowment insurance fund significance and more difficult. Whether the investment of endowment insurance fund can maintain and increment or not, can affect not only the investors'interests but also social stability and economical development. Meanwhile, along with the rapidly aging of population in our country, endowment insurance fund faces much more payoff pressure, which makes maintain and increment of endowment insurance fund more important. Therefore, research about maintain and increment of endowment insurance fund, how to avoid of payoff crisis become a important subject for endowment insurance fund.First, given the characteristic of endowment insurance fund, our research is base on modern investment theory to explore the investment way of endowment insurance fund. Second, we discuss the reality and safety of investment field expansion of endowment insurance fund. Third, we use mathematical tools to model investment portfolios to have quantitative analysis, then we get optimal portfolio. Our purposes are as follows: 1, to grasp the endowment insurance fund investment direction; 2, using existing researching findings to construct a optimal efficiency portfolio model; 3, with the help of correlation theory and empirical analysis, to find the way of optimal efficiency for endowment insurance fund investment in our country.For the purposes above, our paper is divided into three parts as follows;Part One. Introduction. We introduce the background, purposes and meanings of this paper, and summarize previous researches to lay the theoretical foundation for our analysis next step.Part One. Introduction of endowment insurance fund. First, we analyze the meanings, characteristic, and financing mode of endowment insurance fund. Endowment insurance fund has its characteristics like non-commercial, obligatory, special objectivity, benefit society and a demand for increment; Second, we discuss the function and importance of endowment insurance fund investment portfolio in China.Part Two. Investment portfolio of endowment insurance fund in China. In this part, first, we analyze current situation of endowment insurance fund investment portfolio in our country.; second, we summarize the theories about investment portfolio of endowment insurance fund, then we build our investment portfolio model that suits for Chinese market; Last, we analyze optimal of the investment portfolio model of endowment insurance fund.Part Three. Empirical analysis of investment portfolio model of endowment insurance fund in our country. The results show national debts, bank deposit, corporate and financial bonds take a large proportion in the endowment insurance fund investment portfolio in China, for the reason that they have stable interest earnings, on the other hand, stocks and funds investment are more often used for short and medium term investment. Our results show that the optimal portfolio in China should not invest too much money on national debts, bank deposit, corporate and financial bonds, neither on the short term stock market. The investment should have a long term object, considering flexibility and liquidity.Part Four. Research conclusions and policy suggestions. Our endowment insurance fund model show that: the majority earnings of endowment insurance fund in China rely on new insurance underwriters, national debts, bank deposit, corporate and financial bonds. For the reason that they have lower interests and inflation risk, and stock market have only short term interest but huge risk, endowment insurance fund investment portfolio in our country should be built as follows: in the long term, to invest on national debts, bank deposit, corporate and financial bonds, supplemented by some stocks with long-term investment value, or some non-tradable shares; in the short term, to invest stocks and funds that have high volatility, and keep back some money for the demand of fluidity.Base on analysis and conclusions above, our paper give some suggestions as follows: 1. break the investment ratio constrains of different subjects; 2. reduce short term stock investment; 3. reinforce the management of endowment insurance fund investment portfolio and equity market.