Research On Optimal Investment Portfolio Of National Social Security Fund Based On Mean-ES Model

With the social population aging situation more and more severe,how to deal with the situation that is not rich old,become a popular topic.As a follow-up to the national pension industry,the National Social Security Fund's asset size is more and more ambitious,and the efficiency of capital management is more and more interesting.Based on the mean-variance model,ES is used to measure the risk of combination,and the mean-ES model is established.The paper discusses the development process of modern portfolio theory with the national social security fund as the research object.Then,the paper analyzes the characteristics of risk income of various investment instruments,taking into account the empirical action of laws and regulations and models,and finally selected:one-year bank deposits,bonds,funds,corporate bonds,stocks,collecting financial assets 1 month to December 31,2016,the normal data of the sample data and ARCH test,found that it has a sharp and thick tail characteristics,by comparison,and finally selected GARCH(1,1)-t model To describe the marginal distribution of financial assets yield.The Monte Carlo simulation is used to simulate the future rate of return of each financial asset.The t-copula function is used to describe the correlation.Finally,the best use of MATLAB software to solve the 95%and 99%confidence level,the different expected rate of return of the most Excellent investment portfolio,the results for the national social security fund to provide investment reference.In addition,this article found that the higher the expected yield,stock and corporate bonds and other high-yield ratio of asset allocation is also rising.So this paper based on empirical results and advanced foreign experience,targeted to put forward some policy recommendations.