Research On Strategic Asset Allocation Optimization Of National Social Security Fund

Since the establishment of the National Social Security Fund in2000, increasing thevalue of the fund has been the focus of society. With the gradual growth of the fund size andthe deterioration of aging problem, the pressure of increasing the value of the fund isincreasing. In order to increase the value of the fund, on the basis of portfolio theory, referto nearly10years’ statistical data of financial markets, using the mean-variance model, thepaper did empirical analysis in five traditional financial assets including cash, treasurybonds, financial bonds, corporate bonds and equity and draw a effective investment bordercurve. Empirical evidence shows that stock market does not reflect the long-terminvestment value, investment proportion on domestic stock market is high. In addition,through the analysis of industrial investment process, concluded that in recent years thefund gradually increased the direct equity investments of central enterprises and equityinvestment fund, and got a better investment return. Finally, according to the reality of thedevelopment of the National Social Security Fund and experience of asset allocation fromNorwegian Government Pension Fund Global and Australian Future Fund, concludes thatNational Social Security Fund should gradually get rid of the preferences of localizationinvestment to invest in more developed markets overseas; on the basis of investment instocks and bonds, should try to invest alternative assets and other assets to achieve furtherdiversified investment risks and a more substantial investment return. In addition, shouldaccelerate the development and improvement of the investment management-related lawsand regulations and supporting measures; strengthen risk management and investmentsupervision.