Social Security Fund Portfolio And Risk Management Study

The operation and management of social security funds is one of the greatest concerns to the academe and administration. With the economic globalization, social security funds face great challenge. How to realize the maximum value is the foundation to ease the contradiction between supply and demand of the Social Security Fund,ensure the social security and rapid development of the economy. Meanwhile, china's security market witnesses great development. As to the investment, diversification of social security funds investments could be met. Under such financial environment, the focus of social security funds investment is how to invest and operate social security funds effectively to increase the value, optimize the asset allocation according to the China's stock market, measure and control risk, minimize the risk under the premise of guaranteeing the yield. This is also the starting point of the paper.The theory of modern assets portfolio is to study how to allocate the investable funds to more assets with incomes and risk acceptable to different investors when everything is uncertain. Based on the statistical analysis of the actual data of China's securities market, the proportion restriction of each asset (stocks, bonds, enterprise bonds) is proposed here by using Markowitz asset portfolio model and simulating the Social Security Fund's investment portfolio as to provide a theoretical basis for government making decision. In addition, according to the specific characteristics of the china's domestic securities market data and the research on the demonstration of controlling risk in investment portfolio, we find that the risk management means-- VaR based on normal distribution have the problem of underestimating the risk of China's security market. After improving the VaR, to adopt VaR method based on GARCH model will minish the error and calculate the stock yield more rationally. With the above analysis, optimal portfolio construction of the social security funds could be realized ultimately at the same time the measurement is more effective and risks is under control.