Study On The Investment Portfolio Management Of China's Occupation Pension

In China, occupational pension is the second pillar in the pension system of three pillars. With the increasing improvement of the occupational pension system, particularly the following regulations relevant to the investment of occupational pension, the legal investing management for occupational pension has been carrying into execution step by step. It is forecasted by some experts that the value of China's occupational pension will add up to 1 trillion RMB in 2010. The fund which will go into the capital market is a key step for holding and increasing the value of occupational pension; arranging rationally the fund and investment instruments can reduce effectively the influence resulted from some disadvantageous factors (such as inflation, etc.). Therefore, it is an interesting problem of theory and a very urgent issue in the coming years.The paper begins from the present situation of China's occupational pension investment, and utilizes the main investment tool in China's capital market, and in detail discusses the investment portfolio strategy and the present investment portfolio model of China's occupational pension, and finally gives some policy proposals about the existed issues which exist in China's occupational pension investment on the basis of some successful experiences of the investment portfolio management in other countries.Chapter 1 elaborates the research significance of the paper. The research on investment portfolio of China's occupational pension is an urgent practice question. The domestic and foreign research present situations synthesize the present research progress on this question. The paper also explains the research thought, the research technique and the innovation spots.Chapter 2 describes the meaning, the fund characteristic and the utilization principle of occupational pension. China's occupational pension has three development phases: the exploration stage of supplement pension, the preliminary experiment stage of occupational pension and the improving stage of occupational pension system. The present situation of occupational pension investment include investment structure, income analysis, risk analysis and existed questions.Chapter 3 studies the choice procedure of investment portfolio on occupational pension, the existing investment portfolio tool and the investment tool arrangement of China's occupational pension, and produces some investment portfolio strategies according to the foundations above, for instance, regular proportion investment tactic, changing rate investment tactic, preserving value tactic, etc.Chapter 4 discusses the investment portfolio model of occupational pension. It takes Markowitz's average value-variance model as a foundation and uses VaR and the CVaR method to improve the Markowitz model's deficiency so that the revisedmodel will further suit the investment portfolio management of China's occupational pension.Chapter 5 units the researches of the chapters above. It produces some policy suggestions on particularly aiming at the existing issues of investment management which the chapter 2 mentions. For instance, from the legislative viewpoint, standardizing the investment operation of occupational pension; quickly putting out some financial derivatives, etc.The paper adopts the following research approach, theoretical and practical approaches, comparative and inductive approaches. Innovation spots of the paper are to discuss the investment portfolio strategy and the investment portfolio model of China's occupational pension, and to produce some suggestions on improving the investment portfolio management.