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The Operation Of The Pension Insurance Fund

Posted on:2005-10-25Degree:MasterType:Thesis
Country:ChinaCandidate:X L MaoFull Text:PDF
GTID:2206360122985608Subject:Quantitative Economics
Abstract/Summary:PDF Full Text Request
Pension fund represents the rights and interests of the employees, especially the old employees, so it is important to ensure its security. However, there are serious problems in pension fund of our country. For example, the control of the investment tools is strict, the management is dispersed and the operational process is short of supervision. In order to solve these problems, a reasonable operational mode must be established. To achieve the increment of pension fund, its operation in the capital market is necessary which can promote financial innovation and stabilize the capital market.By using the experience of Chile, Singapore and America for reference, this article establishes a operational mode on the basis of the situation of our country and designs a suit of whole mechanism. The main character of the operational mode is that pension found is managed by the pension found administrators which maximize the investment income by competition.According to the principle of mutual restriction and economic theory, this article researches the relation between government, operational organizations and policy-holders, then it founds a supervision system whose emphasis is the dividing the work and collaboration between the supervision institutions as well as their mutual restriction.In term of the quality and investing principle of pension found, the security is first-line, the profitability is secondary and the fluidness is tertiary. By using this taxis and single index model of the portfolio theory, this paper establishes a goal program model in investment of pension fund. To elude the systemic risk, stock index futures can be used in the stock portfolio of pension found. Because the component of stock index is not fully the same as the stock portfolio of pension found, there is much basis risk when one stock index futures is used to hedge. To reduce the basis risk, this thesis offers a compound hedge policy on stock index futures and deduces the expressions of the hedge ratio in two instances when the cost is same or restricted.This paper analyses the investments of pension fund from 9-6-2003 to 7-10-2003, then it demonstrates the stock portfolio of pension found by the goal program model.
Keywords/Search Tags:pension found, operational mode, goal program model, stock index futures
PDF Full Text Request
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