Asset Allocation Study Of China’s Pension Fund Investment In Infrastructure

China’s pension fund is an important part of social security fund in our nation. How to preserve or increase the value of pension funds in an effective way has always been a research topic in our country and even each country in the world. There are different kinds of products with various characteristics which can be invested in Modern financial markets. It has been a focus of academia as to how to choose asset allocation which can match the pension fund investment requirements. The western developed countries tried to apply pension funds to infrastructure in the1990s, and they have created a lot of new investment modes and accumulated many years’experience. Based on the successful experience of the foreign countries and empirical analysis tool, the thesis studies our country’s current pension fund investment.This thesis is roughly divided into several parts in the following:The introduction of the first part argues the research background, significance, contents and possible innovation point of this thesis. Firstly, it relates to the research background of this thesis:with the rapid development of the whole nation’s economy, the social security system has been continually improving, thus we have accumulated some pension funds, so how to effectively manage this money is a urgent fair of the management departments. So the research significance mainly lies in that the thesis discusses the problems that we are faced with and provides evidence-based recommendations. Finally the research contents and possible innovation point lie in that the thesis discusses assets allocation proportion of the pension funds investment in infrastructure, and this may be also the main innovation of this thesis, that is, the research is focus on the specific asset allocation problem in the course of investment. The second part introduces the pension funds investment in infrastructure field at home and abroad and the related research literature in a comprehensive way. Because the study in this point of the foreign scholars is more comprehensive and profound than the domestic ones, this part is mainly focusing on foreign literature review. The foreign literature summarizes the present situation of the foreign pension funds investment, the development of the investment theory and research literature on infrastructure investment.The third part of this thesis firstly introduces the basic concept of Markowitz’s portfolio theory as well as the development course, for a better understanding of portfolio theory later. Then the Value at Risk (VaR) method, this paper introduces three methods respectively about the VaR as the tool of measuring risk value and lists the advantages and disadvantages of three methods.The fourth part comprehensively expounds the theory basis of pension fund investment in infrastructure analyzes the practice of several key countries. First of all, based on the growing problem of population aging and urbanization in our country’s overall situation of the domestic reality, our country needs to speed up the steps of the construction of infrastructure. At the same time, under the background of China’s pension fund facing the economic crisis and the inflation under the huge pressure, our country’s pension fund requires to preserve and increase, thus making pension fund investment in infrastructure become the optional alternatives. After analyzing the income characteristics of infrastructure, this thesis points out that the infrastructure has the considerable return on profits, the lower sensitivity to the economy and market, and low default rates, etc, these features match the demand of pension fund to the products invested well. So the above analysis makes it possible for pension funds to invest in infrastructure. Besides, the thesis analyzes the practice of pension fund investment in infrastructure in Australia, Latin America and America, including the background, specific investment choice and evaluation mode of these countries and regions.The fifth part is the empirical analysis of the pension fund investment for infrastructure construction. Firstly it is the sample selection problem. The data of this thesis is from2008to the end of2012. It is a serious period of the global economic crisis. This period provides more persuasion for the goal of preserving and increasing the pension funds investment in infrastructure construction under the back ground of economic depression. The data in this thesis includes Shibor interest rate, rate of return on SSE T-Bond Index and SSE Corporate Bond Index, infrastructure data is selected SSE180infrastructure index and SSE180resource index.Through the process of the models, this thesis draws the conclusion that it is not an ideal way for the pension funds investment in the overall infrastructure, but it can achieve the goal of preserving and increasing the value if they are invested in some subject areas of infrastructure. In addition, based on the other constraints, this thesis gives the distribution rates of the asset allocation.The Sixth part illustrates the disadvantages, countermeasures and suggestions in this thesis. Because the data gap in this thesis is short, and the subject areas of infrastructure construction are not all involved, in addition, financial accounting has no liabilities analysis or the discussion of the actual account ways, and there is no advanced study of the specific investment model analysis of the pension fund investment in infrastructure. So these problems are also the base point of the future research, and they indicate the direction for the further study.The innovation point of this thesis lies in the empirical research of the pension fund investment in infrastructure. Based on the empirical approach, the thesis draws the feasibility of preserving and increasing the value of pension fund investment in infrastructure through the analysis of the model data. This is different from the feasibility of the previous qualitative analysis of the pension fund investment in infrastructure. In addition, time period of the model data selection is limited by the data source; however, the thesis selects the data after the year2008and finally draws the conclusion of the feasibility of investment in the empirical way, all this indicates that under the background of higher inflation rate and the economic crisis, it is possible to achieve the goal of preserving and increasing the value of pension fund investment in the infrastructure. Finally, according to the actual assumptions (the control of investment portfolio profit, the constraints of the annual value at risk (confidence coefficient5%)) the thesis gives the distribution rate of the investment portfolio, especially the rate of infrastructure, all this provides a certain reference value for future study and this is also the possible innovation point of this thesis. Selecting the data period, this thesis is confronted by the limitation of the data source itself. The thesis has no a wider time span for the empirical analysis. As the focus of this thesis is the research of asset allocation, in the financial management, it lacks the study of the balance of Pension fund assets liabilities, the study of accounting mode in the process of investing in infrastructure, and the discussion of the investment operation mode. To make up for the shortcomings above, in the future study, the following aspects need to be improved:Firstly, in the aspect of data collection, we can compile a longer time span of the index of infrastructure field, and analyze the data before2008. Secondly, we start from the overall perspective to analyze the pension fund asset, liability risks and accounting method in the process of investing in infrastructure. Finally, based on the different properties in the field of infrastructure investment, and the international investment patterns of experience of Australia, the United States, and European countries, we will explore and set the suitable patterns for China’s pension fund investment.