The Portfolio Optimization Study Under Systemic Risk

People’s living standards is increasing with the rapid development of economic globalization and the aging trend is also becoming increasingly apparent. This makes pressure bigger on many countries to pay social insurance fund. Therefore, how to manage pension fund, make pension fund bigger to prevent payment risks that may arise at any time, increase the value of social security fund is imminent. To make the security safe and explore a scientific and rational investment system and methods to increase the value of social security fund with high efficiency is an important subject of our study.In 1952, American economist Markowitze published the paper’"Portfolio Selection marks the creation of modern portfolio theory, after that, the study is constantly enrich and develop the theory like Markowitze’s own Mean-semi-variance model; Sharp, Mossin, Fama proposed the capital asset model(CAPM):Ross proposed the arbitrage pricing model and so on. In 1994, the company of.IP Morgan proposed a new system of risk measurement standard named Riskmetrics, namely VaR. Because of its high predictive accuracy and opcrability, it gradually became the mainstream tool in the field of risk management. However, VaR is not constant risk measurement tool in the non-normal distribution, so, Conditional Value at Risk(CVaR) is proposed. At the basis of Markowitze’s Mean-Variance model, the scholars gradually developed the Mean-VaR model and Mean-CVaR model to provide a theoretical basis for better choosing portfolios.This study includes two aspects:Firstly, use the Pair-Copula-GARCH-t model to fit the joint distribution of NSSA, by the method of Monte Carlo simulation to simulate a series of portfolio gains values. Under the investment ratio constraint of the relevant legal documents, based on the Mean-CVaR model to calculate the optimal investment proportion; secondly, in the objective background of systemic risk in our country, use the coefficient of β and the deformation of Sharp index RAROC to portray the investment performance of social security fund.After empirical analysis, we can conclude that the portfolio through model simulation and optimization is basically the same with the actual, this illustrate the reliability of the model. Through the analysis of investment performance, we can see that the social security fund have the potential to further optimization.