TY - GEN
T1 - Research on asset allocation model of pension fund in China
AU - Wang, Mei
AU - Han, Liyan
AU - Yang, Yansui
PY - 2012
Y1 - 2012
N2 - The preservation and appreciation of pension fund is the core of the whole pension system. As the cash for daily life of the retiree, the investment rate of return of pension fund has to be higher than Consumer Price Index (CPI) in order to maintain the purchase power of pension and play a security role. On the basis of Markowitz theory, the constraint of CPI was added in this paper. The weight of all assets in optimum portfolio and the minimum variance of the portfolio under current financial market were calculated by Matlab software in China. Finally, suggestions on reforming investment policies of pension fund in China were given.
AB - The preservation and appreciation of pension fund is the core of the whole pension system. As the cash for daily life of the retiree, the investment rate of return of pension fund has to be higher than Consumer Price Index (CPI) in order to maintain the purchase power of pension and play a security role. On the basis of Markowitz theory, the constraint of CPI was added in this paper. The weight of all assets in optimum portfolio and the minimum variance of the portfolio under current financial market were calculated by Matlab software in China. Finally, suggestions on reforming investment policies of pension fund in China were given.
KW - Asset allocation model
KW - Consumer Price Index (CPI)
KW - Pension fund
UR - https://www.scopus.com/pages/publications/84255192069
U2 - 10.4028/www.scientific.net/AMR.422.448
DO - 10.4028/www.scientific.net/AMR.422.448
M3 - 会议稿件
AN - SCOPUS:84255192069
SN - 9783037853283
T3 - Advanced Materials Research
SP - 448
EP - 451
BT - Equipment Manufacturing Technology
T2 - 2nd International Conference on Advances in Materials and Manufacturing Processes, ICAMMP 2011
Y2 - 16 December 2011 through 18 December 2011
ER -