Research On Investment Strategy Of Pension Market

By First of all,by investigating the history of pension development in China,this paper finds that the pension in China has been continuously improved and changed with the development of pension system as well as the management mode,which has gradually formed a very characteristic pension social security system.In August 2015,the State Council issued The Basic Pension Fund Investment Management Regulations,which provides a clear institutional guarantee for the entry of Chinese pensions into the market.However,it does not clearly explain what kinds of investment strategy should be adopted by the investment management institution of pension fund.After reading the relevant literature,it can be found that there are too many suggestions on what strategies should be selected in the market entry of pension in China and abroad,but the core point of view is that,in view of the particularity of pension nature,the most important goal of pension entering the market should be the one to preserve its value and to improve the income as far as possible on the basis of preservation of value.Then through the analysis of the theory of Markowitz's mean variance theory and portfolio insurance strategy,this paper recognizes the advantages and limitations of these three models,of whic h the primary goal of portfolio insurance strategy is to preserve value,and the second is to consider greater income,which is more consistent with the initial intention of the pension market.Through the analysis of the status quo of the pension market,we find that there are three problems in China's pension.First,there are entrusted agency risks and capital market r isks.Second,the amount of pension income gap is relatively large.Third,the current pension is mainly invested in bank deposits and state-owned bonds with stable returns.The investment yield rate is low,and the yield rate is significantly lower than the average level of pensions in other countries.In addition,the annual pension rate of return is lower than the current year's inflation level in 2016.Therefore,it is easy to see that the pensions are at risk of devaluation.Therefore,this paper designs the strategies of a risk multiplier adjustment model D-CPPI as well as D-TIPP based on the prediction results of smooth moving average index(MACD).And the risk multiplier M is enlarged and reduced respectively according to the "golden intersection" and "death intersection" of the MACD index so as to enable the size of risky assets to adapt to the trend of the stock market,that is,to enlarge the size of risky assets during the stock market rally,and to reduce the size of risky assets when the stock market falls.Thus,this paper takes 300 Index in Shanghai and Shenzhen,which come from total 180 trading days,as the sample data from January 27,2005 to May 27,2015,June 10,2015 to October 9,2015,February 10,2017 to June 8,2017.The comparison results verify its effectiveness,and propose specific and targeted optimal portfolio optimization strategies for the entry of Chinese pension insurance funds into the market.