Research On The Investment Combination Of Pension Fund

China is one of the most serious aging countries, but China’s pension fund is unable to meet the requirements of increasing the value. The key to solve the problem is through a reasonable combination of pension fund investment vehicles to ensure that it can reach the goal. Pension insurance fund is what the old age of the insured relied on. On one hand, its characteristic decides that it can not run the risk; on the other hand, pension insurance fund’s goal is to increase the value. So it requires making a balance between the risk and the return. And reasonable portfolio can be a good solution to the problem. So this paper studies the issue of pension insurance fund portfolio.First, this paper is discussed that China’s pension fund system construction development history and its current situation. Select the2001-2011total investments of pension fund, asset allocation and investment income data to analysis the total investment of the pension fund, the investment structure and the investment income in China, to make the overall evaluation of the pension fund, in order to better reflect the investment operation of pension fund in China. The results show that:the types of investment vehicles of pension fund in China are too small, that can not diversify risk effectively; the rate of return is too low, far less than the value-added requirements; supplementary status of individual savings pension insurance did not show. Secondly, the paper is selected bank deposits, government bonds, open-end funds and the Shanghai Composite Index as the object of empirical research. And anglicizing these four kinds of investment tool’s risk and return since2004, find the correlation of these four investment tools. Then study their investment portfolio. And through the capital asset pricing model to determine the capital market line portfolio, in order to derive the measure of risks and return reference. Finally, we learn from the experience of the foreign investments of pension fund, in view of the existing problem of pension fund investment in China and put forward related suggestions. Find that pension insurance fund investment in our country should focus on these four aspects:broadening the investment channels, scientific combining of pension insurance fund investment tools, reforming the current investment management mode and perfecting the legal system of pension insurance fund, and strengthening the supervision of pension fund investment.