Research On The Optimal Asset Allocation Framework Of Corporate Pension

China's basic corporate pension system is under great pressure in terms of both financing and spending, which make it necessary to establish a "multi-pillar"system. Supplementary corporate pension as the second pillar has more room for development. There are two types of the corporate pension from the ways of payment. One is the defined benefit corporate pension and the other is the defined contribution corporate pension. The difference of two types is the investment risk in terms of payment and benefits payment.The first part is the introduction, which introduces the research background,content, framework and significance. The second part introduces the research direction of corporate pension problem and discusses how to choose the form of corporate pension in China. In China, there is only defined contributioncorporate pension. Unfortunately, defined benefit corporate pension hasn't been developed. But in the future China has to develop two corporate pensionforms at the same time or the mixed form. Most of the investment incomes depend on the optimization of asset allocation, and a small portion depend on the choice of market mechanism. Therefore, the study focuses on theoptimization asset allocation.The rest of the study is the optimal asset allocation modelusing stochastic optimal control method, optimization problem solving, numerical analysisbetween the key variables and the investment proportion of risky assets,the conclusion and the policy suggestions on the development of corporate pension. When studying the defined benefit corporate pension asset allocation, the study takes the optimization of both shareholders' interests and the interests of corporate pension beneficiaries as its objective from the perspective of weighing earnings; reduces insolvency risks of corporate pension; used stochastic optimal control theory to build and solve HJB equation that optimal allocation ratio of corporate pension satisfies, and obtained the analytic solution for optimal asset allocation ratio of corporate pension. The result shows that regardless of insolvency risks of annuity assets,the allocation ratio of company assets is negatively correlated with the allocation ratio of annuity assets,which results in the conclusion that the more corporate debts and corporate pension debts, the more conservative in their investment decision-making. When studying thedefined contribution corporate pension asset allocation, this paper uses a unified analytical framework, which considers the salary change as a stochastic process in the accumulation season and the mortality rate as a stochastic process in the pension payment period.This part also uses the same method to obtain the optimal solution as above.The result shows that the salary positively correlates with the risk assets allocation ratio in the accumulation season and the mortality intensity negatively correlates with the risk assets allocation ratio in the pension payment period. The stock risk volatility is inversely related to the risk assets allocation ratio in the two periods.