An Empirical Study On Asset Allocation Of Enterprise Annuity In China

The signal of the aging which is accepted all over the world is the percentage is more than 7%.According to the National Bureau of Statistics of China,the percentage of population whose age is over65 years old was 7.69%in 2005,and the number has been increasing in the past ten years.The percentage was over 10.06%at 2014.In other words,China has entered the aging society since 2005,and the problem about aging has been becoming more and more serious.Facing the fact,the Central Committee of the party clearly put forward the“13^th Five Year period”is the crucial stage for building a well-off society.We should build a fairer and more sustainable society pension system and develop enterprise annuity,occupation pension,pension insurance business.As the second components,its importance is self-evident.Comparing the return on investment about social insurance funds and enterprise annuity,we found the problem of low yield of enterprise annuity.Aiming at this,the thesis focuses on the asset allocation of enterprise annuity in order to prove if there is a problem about unreasonable asset allocation.The study is not only the theoretical test of the return on investment,but also a reference for the development of occupation annuity.In this paper,we use Martin Young mini-max model to study the asset allocation problem of enterprise annuity.Using the one-year deposit interest rate,the growth rate of corporate bond index,and Shanghai index growth rate as the variables from 1993 to 2016,we obtain the optimal ratio of assets and the optimal rates of return on investment at different minimum expected returns.Through the comparison of the model results,we found the trend of asset allocation and optimal rate of return on investment under different minimum expected return.And we judge the rationality of actual investment.According to the results,we found that different types of assets have different trends in the proportion of investment with the change of minimum expected return.And the optimal rate of return will converge to a fixed value with the increase of the minimum expected rate of return 8.7%.The author believes that the actual investment allocation and investment results are reasonable and appropriate under the constraints of the current management methods and law in China based on the comparison.To improve the return on investment for enterprise annuity,the author put forward four suggestions:improve the investment environment,expand the scope of investment,encourage more enterprises to build the enterprise annuity,and try individual investment by themselves.