The Research Of Optimal Pension Asset Allocation For Multi-Manager Mutual Fund Investment

With the deepening of aging problem, the current pension system will be facing increasing pension payment pressure. Besides the delaying solutions such as delaying retirement or delaying payments, it is also very important to find the more effective way for pension investment. Considering the risk and benefits, investing in mutual fund portfolio (multi-manager) is a suitable investment channel for pension plan. Comparing to invest in only one mutual fund (called "Single manager mode"), in the real world, it is more usual for pension plan to invest in fund portfolio made of multiple funds (called "multi-manager mode"). In this mode, besides selecting the suitable managers, it's even more important to determine the proportion of these selected managers in the portfolio.This thesis firstly introduces the current situation of pension system of our country and the necessity of improving the efficiency of pension investment. The thesis then introduces the system.channeal and law for pension investment in other countries, followed by the introduction of portfolio theory. After that, this thesis specifically describe the theory of M~3 model and its advantage comparing to some other model. The thesis then does the empirical analysis under this model. Based on those analysis, this thesis tries to give some suggestion on how the pension funds can take more efficient way in mutual funds investment.