A Optimization Of China’s Corporate Pension’s Investment Portfolio Strategy

The paper gives a study about the choice of China’s corporate pension’s investmentportfolio strategy. The purpose of this paper is to find the corporate pension’s investmentportfolio strategy that fit Chinese market. There is a lot of significance with the accumulationof corporate pension. In the first chapter, the author introduces the background and meaningof this paper. The second chapter first introduces basic theories including Portfolio Theory,VaR investment theory and Life Cycle Theory, and then sums up literatures in and out ofcountries. The third chapter summarizes the history and the current situation of corporatepension. Also, there are some investment strategies and ideas about corporate pensioninvestment needed to be improved. The last part of the third chapter gives a comparisonbetween internal investment tools and external’s. As limitations these theories have to guidethe investment, in the fourth chapter the author purpose a better investment strategy.The fifth chapter makes empirical research based on the third chapter’s theories. The authoruses both Mean-Variance Model and VaR Optimization Model to analyze pension investmentportfolio. Find investment tools’ proportion with fixed returns by Mean-Variance Model; alsofind investment tools’ proportion with fixed VaR by VaR Optimization Model, then makescomparisons between the two methods. As the two methods have different characters andadvantages, the paper has the opinion that different method should be used with pensionowners’ different life stage. The sixth chapter is a case got from AB Pension Company.Comparing the case’s investment portfolio with our models’ investment portfolio, the authorhas some interest findings. First, current assets proportion and national debts proportion aresimilar in both case’s and models’ portfolios; Second, equity assets are higher in models’portfolios than case’s, this is caused by downcast quotations in Chinese stock market; Third,fixed returns assets are higher in case’s portfolio than models’, this is caused by zeroproportion of equity assets in case’s portfolio. And because of the neglect of employee’s liftcycle, the case’s investment portfolio is corresponding with the old employee’s investmentstrategy. Neglecting young employees’ investment choice will resulting in some return lostduring a long period.