| When our society has not yet realized total modernization, the advent of a demographicaging population is coming in advance. In the field ofour society operation and public governance, how to provide care services for the expanding aging population is now an urgent issue. Our governmenthas adoptedthe three-pillar pension system theory published by the research report of the World Bank, which is, public pension, enterprise annuity and individual pension savings composingour social pension insurance system. Among them, enterprise annuity occupies an important position in the three-pillar pension system.The number of local companies who have established annuity funds has reached 72171 To 2014, covering 2210.46 million participantemployeesand running a fund size of 709.239 billion RMB altogether. However, compared with international standards,our enterprise annuity development is far beyond mature, therefore a broad market space and development potential awaits ahead. It is clear that China’s basic public pension insurance is facing severe status under constant pressure of an aging population and the tighteningof fiscal spending, thus researchof this issue on how to build an effective portfolio for our enterprise annuity fund and achieve an optimal asset return under effective risk control will have its practical significance.Based on a comparison analysis on a variety of investment tools of their yields, risks and correlation coefficient, select the appropriate investment vehicles used for empirical studies, given the appropriate mean -CVaR model on our enterprise annuity asset allocation, using MATLAB software on conducting operations, and finally through analysis and comparison considering benefits and risks, this article gives an optimal asset allocation of the portfolio in certain confidence interval. This conclusion can provide certain reference value for the enterprise annuity investment, and a group of different solutionsof CVaR values are also given for choices of different insurees who have diversified risk appetites. |
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