Font Size: a A A

Research Of Pension Fund Portfolio Selection Model In Uncertainty Environment

Posted on:2015-01-04Degree:MasterType:Thesis
Country:ChinaCandidate:Y L LiuFull Text:PDF
GTID:2309330431483042Subject:Quantitative Economics
Abstract/Summary:PDF Full Text Request
The target of pension fund investment is to gain the highest possible yield under an acceptable risk level. The classical models and methods all treat uncertainty as randomness. However, with the rise of the studies of behavioral finance, the fuzzy uncertainty in securities market gradually attract people’s attention and awareness. Fuzzy theory and Credibility theory has been established, and been used in the portfolio selection process. However, Fuzzy variable and Credibility variable both have weakness in describing expected earnings. In2007, Professor Liu Baoding from Tsinghua University create the concept of Uncertain measure, and then the Uncertain theory has been developed. Many scholars make researches on the basis of it, and applied it to the field of investment analysis. This paper discusses the pension fund portfolio model problem in uncertainty environment.In uncertainty environment, with the consideration of that safety is the primary criterion for pension fund, this paper builds up the risk-free protection index(RFPI) model based on uncertain theory. This index is able to evaluate the protection given by the return of risk-free assets when the portfolio happened to loss in certain confidence level.Furthermore, establish the uncertain portfolio selection model based on risk-free protection index. Calculate steps are given. And entropy optimization is used into the model. The model consider the overall volatility, as well it can maximum the expected return at certain risk-free asset protection level. It provides a new method for institutional investors.Example study is given at the end to summarize the patterns, validate the practicability and availability. This paper summarizes that:(1)With the increases of the risk-free protection index, the weight of the risk-free assets increases.(2)With the increase of the risk-free protection index, the expected return of the portfolio decreases.(3) With the increases of the risk-free protection index, the Value at risk of the portfolio decreases.(4)With the increases of the risk-free protection index, the variance of the portfolio decreases. At last, this paper compares the risk-free protection index model with the mean-variance model, and finds out that when the safety need is high, the risk-free protection model is better than the mean-variance model. It explains the usefulness of the RFPI model, especially in areas with low risk tolerance, like pension funds.
Keywords/Search Tags:portfolio selection, risk-free protection index, uncertain variable, risk-freeasset
PDF Full Text Request
Related items