The National Social Security Fund Portfolio Research With Risk Measurement Of CVaR

The national social security fund is an important way to balance the gap between rich and poor residents in our country, which is an source of funds for low-income families living. Because of the national social security fund setting up lately, It’s difficulty to improve management level and keep value for the national social security fund. In addition, with bad economy and population aging, it’s also a challenge to improve value of the fund. The national social security fund investment problems become the focus of social attention. With the development of the portfolio model, portfolio is used to maximizing return on investment and dispersing risk, which become a mean to solve the problem of hedging. CVaR is better than variance and VaR as risk measurement tools with risk measure theory. This article think CVaR is a best indicators of portfolio risk measurement tools in portfolio model. With the analysis of the present situation of the national social security fund investment, this article researched form of investment and income from investment, which we found investment method became change to entrusted investment and income from investment was low relative to inflation rate. The national social security fund portfolio model is established. And we joined the proportion constraints to financial tool investment into portfolio model to analysising influence of the constraints to the optimal portfolio. Finally we get the following conclusions: Firstly, increasing the proportion of entrusted investment is beneficial to the national social security fund management; Secondly, Overseas assets is beneficial to reduce the VaR and CVaR of the portfolio; Thirdly, In extreme market conditions such as the financial crisis, Appropriatly relaxing restrictions of investment proportion of bank deposits and bonds investment and raising investment proportion to funds, stocks and other financial instruments is helpful to reduce the portfolio.