Research On Pension Fund Allocation Based On VaR Model

As an important part of national economy in the country, the system of pension fund takes great efect for alleviating the social tension and reducing the economical cost all the time .Our reform of market economy of socialism has practiced for years,then how to make it service for our economy construction is still worth paying atention to and probing into for us.Now, along with the intense of reform,the need of which depends on the pension insurance system on releasing the bad influence from the economy reform become strong.Certainly,the endowment insurance system itself also faces the development of reform, in order to fit in with the requirement of the development of economy system with the point of our utilization at current situation;for endowment insurance system, income falling, short of expenditure and benefit pressure etc, have great restricted the development of endowment insurance, even made effect on the survive of it.Through looking into the development of pension fund around the whole world and the improvement of private account and publc account, I also read most of the paper about pension fund management.The situation here in China is well backfire.The Chile management of private and public account will give us a good advice about how to improve our situation.In this thesis, an optimal asset allocation model with the restriction of component VaR is proposed for pension fund asset management. In comparison to Husiman, Koedijk and Pownall(1999) approach, the proposed model further takes into account the marginal VaR contribution of each asset. A marginal VaR or component VaR based asset allocation model would model the correlation structure of assets well and explore further useful information for asset allocation decision. Such a model would be more applicable for pension fund asset management and could be extended to other fund asset allocation problems.