The Optimal Allocation Strategy Of The Pension Fund

"Chinese pension development report 2015" report data show that without considering the financial subsidy income situation,the national urban workers pension insurance fund in 2014 to the current there have been up to the amount of deficit-1321.09 billion yuan.Aging society has become irreversible in the current product of social development,China has entered the aging society since the end of twentieth Century,this social form in the future will continue for a long period of time,which is a huge social security system challenge,pension funds will also face huge pressure to pay rare.In view of this situation,we should strengthen the pension fund daily operations management,improve return on investment fund managed by the wealth to ease pressure on Aging paid under the pension fund.In order to cope with an aging pension fund crisis,the past 10 years compound annual growth rate ofthe DCpension fund is higher than DB pension funds,and the proportion of DC pension fund is gradually increase.So this paper discusses the optimal asset allocation strategy of DC pension fund.There are many factors that affect the wealth of the pension fund.Based on the stochastic volatility model of pension fund investment risk assets and the dynamic evolution of population,this paper constructs the optimal asset allocation framework of DC pension fund.This paper won the best investment share and pension funds of the total wealth dynamics differential equation with stochastic optimal control theory of the Legendre transform and dual theory of the fund's optimal asset allocation framework to solve.Using the numerical analysis method to study the evolution law of the optimal asset allocation strategy from the different factors affecting the optimal investment share,the specific rules are as follows:Best investment share of total wealth and pension funds pension funds showed the same trend,the trend is first increased and then decreased.With further enhance the life expectancy of the population,the DC pension fund liquidity to meet the increasing pressure to pay cut for risky assets in order to maintain the share of investment fund.Delay in the statutory retirement age of the fund's liquidity requirements have also been reduced,this time the fund can enhance the share of investment in risk assets.Participants in the pension fund to further deepen the risk aversion,should reduce the best investment share of the risk of assets in order to maintain the relative stability of the total value of the fund's wealth.At the end of this paper,the research on the optimal asset allocation strategy of the DC pension fund is summarized,and the potential direction of the future is sorted out.