Study On The Portfolios Of Chinese Pension Funds Overseas Stock Investment

The pension funds of our country faced with the challenge of accelerated aging trend. While under this challenge pension funds failed to earn or even keep their value, with the reasons that investment strategies are too simple, the domestic investment products are so few, and the investment restrictions are too strict. This undoubtedly made the situation of old age in our country even more serious. As a result of that, this paper aimed to find out the way to keep or earn the value of the first old-age security pillar, which was also called the public pension funds. After analyzing the status and the reason why the value of pension funds can not be held or increased, this paper pointed out that it was necessary to invest overseas for pension funds.Firstly, we compared the international investment practice of other countries by introducing the payment and financing model of pension funds, distinguishing the two main principles of the governances of pension funds overseas investments, and paying attention to summing up the pension funds' main investment instruments:cash and deposits, bonds, stocks, financial derivatives tools and overseas investments. Then we used Markowitz mean-variance theory, together with theoretical and empirical ways, also the regression analysis and mathematical projections, to solver the best overseas stock investment portfolio of pension funds based on historical data. At the same time we confirmed the truth of the advantages of overseas investment. Above these we did further research on the model of stock investment portfolio of pension funds in our country. Finally, we proposed five policy suggestions on the basis of empirical findings:(1) loosen the restrictions of pension funds investment; (2) introduce professional management system of pension funds; (3) enable liability driven investment objectives:(4) define the regulation function of government; (5) materialize the implicit debts.