Research On Asset Allocation Of Pension Reserve Fund

The pension reserve fund system is an important part of the multi-level social security system.It is a kind of adjustment mechanism co-existing with the three pillars of pension insurance to make up for the short-term shortage of old-age security.Pension reserve funds are characterized by long-term,stable,large-scale and long-term stable returns.Pension reserve funds in countries around the world have only been developed for decades.The research on pension insurance mainly focuses on the theoretical research of gap calculation,guarantee level and investment operation efficiency.From an international perspective,due to the impact of the 2008 world financial crisis,asset prices in global financial markets have fallen sharply.Most countries have suffered significant losses in their pension investments and pension assets.Therefore,the issue of pension asset allocation has attracted more and more attention from scholars and experts.Therefore,it is necessary at this stage to take measures to maintain and increase the value of pensions,including measures to optimize the allocation of pension assets to promote investment risk control and asset allocation efficiency.From the domestic situation,China’s aging process is gradually accelerating.By 2050,the elderly population,the 60-and 65-year-old population,will account for 31% and 23% of the total population,respectively.In other words,the problem of population aging in China will be more prominent during this period.In order to meet the challenges of an aging population,we need to accumulate funds in advance.In this context,China has established an existing pension insurance fund system.However,for pension fund investment,asset allocation is the primary and important stage,which has a significant impact on the long-term efficiency of the fund.But as a reserve fund,the purpose of the investment is to obtain a more stable return.Therefore,studying the asset allocation optimization and upgrading of the pension reserve fund is a meaningful exploration.Firstly,through the combing of domestic and foreign literatures,starting from defining the definition of pension reserve fund,the general theory of asset allocation is first elaborated,then the application of asset allocation theory in pension reserve and the current situation of asset allocation in China are analyzed.Detailed description of the pension reserve fund.This paper provides theoretical support for the application of risk parity theory in the asset allocation of China’s pension fund.Secondly,based on analyzing the current situation of asset allocation of China’s pension fund,it is proposed that the asset allocation of China’s pension fund is still based on the Markowitz model framework,which is not suitable for the market environment where the capital market is rapidly rising and lowering.By comparing the Markowitz model,the fixed proportional investment model and the B-L model,the characteristics of the risk parity model are analyzed and compared,namely risk balance and income stability.The theory of risk parity asset allocation has a high consistency with the target of pensions.Finally,from the perspective of quantitative analysis,this paper simulates the distribution of the National Social Security Fund in China’s pension reserve fund,and tests the fund’s rate of return.The study found that under the guidance of the risk parity model,the fund has less volatility and a better Sharpe ratio.Risk parity is consistent with the long-term investment and stable operation of the pension reserve fund,providing a new perspective for asset allocation.Domestic scholars’ research on risk parity models is similar,mostly focusing on the simple empirical test of the original risk parity model.This paper introduces a risk-based risk parity model,which has certain reference significance for China’s pension reserve asset allocation.The conclusion that while meeting the total demand of long-term investment and stable operation of pension reserve fund,risk parity provides a new perspective for asset allocation is drawn.Compared with the portfolio performance dominated by mean variance of pension reserve fund at this stage,the investment portfolio dominated by risk parity is less radical and can smooth the income fluctuation of pension reserve fund as a long-term allocation.With some similarities,most of researches on risk parity model by Chinese scholars conducted simple empirical tests on the original risk parity model without corresponding innovations.This paper proposes a risk parity model based on risk factors,which can provide a new perspective and train of thought for the asset allocation of basic pension in China.