Proceedings of the 2020 5th International Conference on Humanities Science and Society Development (ICHSSD 2020)

Optimal Portfolio of Basic Pension Insurance Funds in China

Authors
Hao Li
Corresponding Author
Hao Li
Available Online 27 July 2020.
DOI
https://doi.org/10.2991/assehr.k.200727.185How to use a DOI?
Keywords
Pension insurance fund, CVaR, investment portfolio
Abstract

China’s pension fund has a large amount of capital, and the investment direction of the fund has a certain impact on the capital market. A good portfolio can promote the healthy development of the real economy. With the continuous change of capital market, new financial products emerge and the operating ability of listed companies change ceaselessly, so that the portfolio of pension funds needs to be changed from time to time. In this paper, initially, with the help of consistent risk measurement theory, it is shown that CVaR has better properties than VaR and other risk measurement tools. Then the paper selects the daily rate of return of bank deposit, Shanghai, Shenzhen, Shanghai and Shanghai bonds, and the daily rate of return of the Shanghai Stock Exchange Fund. At last, the combination of the pension investment based on CVaR is obtained by using the Matlab.

Copyright
© 2020, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 2020 5th International Conference on Humanities Science and Society Development (ICHSSD 2020)
Series
Advances in Social Science, Education and Humanities Research
Publication Date
27 July 2020
ISBN
10.2991/assehr.k.200727.185
ISSN
2352-5398
DOI
https://doi.org/10.2991/assehr.k.200727.185How to use a DOI?
Copyright
© 2020, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Hao Li
PY  - 2020
DA  - 2020/07/27
TI  - Optimal Portfolio of Basic Pension Insurance Funds in China
BT  - Proceedings of the 2020 5th International Conference on Humanities Science and Society Development (ICHSSD 2020)
PB  - Atlantis Press
SP  - 611
EP  - 616
SN  - 2352-5398
UR  - https://doi.org/10.2991/assehr.k.200727.185
DO  - https://doi.org/10.2991/assehr.k.200727.185
ID  - Li2020
ER  -