Research On The Pension Portfolio Management

Because of the periodical changes in social population and the status of the output,it is necessary to realize the inter-temporal balance over a longer period of time,ease the social welfare loss caused by population and output cycle and design a social security system,By the way,the pension system is an important part of the security system.In the recent decades with emphasis on the important role of pensions,China has stepped into an aging society,and the aging population presents a rapidly increasing trend.At present,China mainly has pay-as-you-go pension system,the aging problem makes the pay gap higher and higher.If it can't be handled properly,it will make a big effect on the development of Chinese society.With pension investment management in China still in the immature stage,the major investment channels are fixed income patterns in savings and bonds,the investment yields are low,so pension is facing the risk of asset value.While many developed countries have long time to separate long-term savings pension from the banking system,they establish the independent social pension funds.After a long period of time of practice,they have more experience in investment management.Since 1978,China's economic strength has constantly improved.Capital market gradually mature.And the development and promotion of new products in capital markets makes pension investment develop in the direction of diversification,diversification.In this context,China's current pension system needs to reform.At present,researches mainly focus on the efficiency of pension security mechanism,as well as how to improve the operational efficiency of the pension investment.How to balance risk and return on pension investments for its value preservation has become an urgent task to protect people's livelihood.In this area,there are few studies covered.This article combines with the present situation and the existing problems of the pension investment management mode in our country.And respectively chooses eight representative developed countries large pension funds from the world's major continents as comparative objects to analyse their management structure,investment mode and the content of asset allocation.This article predicts the benefits and risks of stocks and bonds in coming years based on Mean-variance asset allocation model to analyze the optimal combination of pension asset allocation.The results show that pension investment should be changed from extremely conservative portfolio of government bonds and deposit to portfolio of 80% bonds and 20% stocks to achieve increasing the value of pensions.However,portfolio management has been based on Mean-variance model.Mean-variance model uses the average yield table to calculate the return on assets and the risk matrix to calculate the risk.All the asset allocation decision is determined by the two-dimension data.This article starts from the market balanced portfolio of Mean-variance model,and then finds the optimal combination based on Black-litterman model according to the investment needs of pension investors.In that,investors can adjust the portfolio allocation on their own reviews.Finally,this article establishes the relative certainty variable by the Black-litterman model to make investors adjust the portfolio through updated information.Based on these results,this article tries to put forward reasonable policy recommendations for the government's pension investment management.