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The Optimal Investment Strategy for Occupational Pension Funds in China

Author: GuoLei
Tutor: ChenFangZheng
School: Tongji University
Course: Technology Economics and Management
Keywords: Occupational pension Stochastic dynamic programming Investment strategy Life-style Target Preference
CLC: F842
Type: PhD thesis
Year: 2006
Downloads: 1440
Quote: 1
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Abstract


Occupational pension will play an important role in the economy and society development in China. The dissertation explored the optimal investment strategy for occupational pension funds based on former study.First the dissertation introduced the regulation policies for occupational pension funds investment in China. And the reason for regulation, the possible negative affection and the future trend followed.Then in a two-independent-asset world, a stochastic dynamic programming model was set up with the beneficiary affiliated to the occupational pension schemes minimizing the deviation of the target returns and the actual returns. And the following Monte Carlo simulations were carried out to investigate the behavior of the optimal investment strategy and the sensibility to some factors.Furthermore in a two-correlated-asset world, Target Preference was introduced based on the former stochastic dynamic programming model. The simulations described the relationship between the optimal investment strategy and target preference, target returns and the assets returns correlation coefficient. And the sensibility analysis also was carried out. And the dissertation explored the post-retirement investment strategy for occupational pension funds and compared instant or deferred annuitization.Based on the former theoretic study the dissertation simulated 7 market scenarios to explore the performance of so called Life-style Strategy for occupational pension funds and it’s sensibility to switch moment.At last the conclusions came out and the future work was schemed out.

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CLC: > Economic > Fiscal, monetary > Insurance > China's insurance industry
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