Research On The Investment Portfolio Of The Basic Endowment Insurance Fund In China

The basic endowment insurance fund is an important part of China’s endow-ment insurance fund system, the main responsibility to pay pension. Our country is one of the most serious aging, endowment insurance fund in our country can not meet the requirements of value. Because of the basic endowment insurance fund investment limited to bank deposits and bonds, so the basic endowment insurance fund investment income is low, it is difficult to achieve the value goal. Due to fluc-tuations in the rate of inflation growth and the deepening of degree of population ageing, achieve the requirement of the basic endowment insurance fund value in-creasing, therefore, to ensure the safety of the funds under the premise of realize the diversity of the basic endowment insurance fund investment, to deal with inflation and population aging challenge to fund of primary endowment insurance ability to pay.The key to solve the problem is through the combination of reasonable endow-ment insurance fund investment tools to ensure that it can realize gains. Reasonable portfolio can well solve the problem of the tradeoff between the benefits and risks, so this article is to research the problem of endowment insurance fund investment portfolio.Markowitz’s mean-variance model is presented in this paper, based on the study of the continuous time case, with the fixed transaction costs and proportional transaction costs mean-variance portfolio optimization problem. Build the en-dowment insurance fund under the dynamic environment mean-variance portfolio optimization model, by using the dynamic programming method, deduce the prob-lem Hamilton-Jacobi-Bellman equation. Thus, the character is to deduce the original problem of optimal investment strategy and effective expression. For the actual investment of endowment insurance fund provides a meaningful reference.