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Study on Asset Allocation of Enterprise Pension Fund in China Based on Model M-LMP

Author: LiYanRu
Tutor: YouGuiYun
School: Ocean University of China
Course: Insurance
Keywords: Occupational Pension Asset Allocation M-LPM Model
Type: Master's thesis
Year: 2013
Downloads: 2
Quote: 0
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The basic retirement security faces a huge pressure of hedging against inflation and keeping pace with the economic growth on the ground of aging. There are difficulties in relying solely on the basic retirement security to reach our pensions replacement rate target58.5%. And there is long way to go to get the international acknowledged target of70~80%. In this case, as the second level of old-age security and important supplement of the basic retirement security, occupational pension gains the attention of the community. Therefore, how to increase the value of occupational pension and achieve stable investment income becomes a critical question. Many scholars’research shows that asset allocation plays a significant role in acquisition return. Therefore, knowing both the return target of occupational pension and determine the asset allocation have a huge practical significance. At the same time, the sense is also reflected that a good rate of return on investment can play an essential role for the promotion of occupational pension.The first part is making an overview of the occupational pension asset allocation theory. Clarifying the definition of China’s occupational pension under the current regulation of China is the first step. Occupational pension is compared with the various types of investment funds to summarize the investment and operation characteristics and investment principle. In addition, the paper combs the asset allocation theory and summarizes Markowitz asset allocation general idea. The idea is the expected rate of return must achieve minimum risk. Secondly, in accordance with our laws and learn from the advanced experience of foreign countries, the paper analyses the investment channels can be selected. Then the article introduces downsides risk theory and gives a definition of the risk as well as two risk measure method deviation risk measurement and quantile risk measurement. The paper explains the reason why lower-partial moment is more applicable to the real world. The last part is empirical test. Estimating the occupational pension return and using first-order M-LPM model to calculate the proportion of each investment channel is the main job of this part. After all of this, the paper tries to explain the reason of the calculating result. Ultimately, the article gets the followed conclusion. First, the main difference between occupational pension fund and other investment fund is the target and term. Second, mean-lower partial moment is better than mean-variance and value at risk in measuring risk. Third, the inflation rate cannot be treated as the target return. The target return is higher. Last, the restriction of investment channel should be loosened, or at least the proportion of stock should be increased because of the possibility to reach the return target. Meanwhile, the capital market of developed country is not a good choice to invest now. But modest investing to developing country can be helpful. Whether Infrastructure will be one of the most important investment channel in the future.This article may innovative in two points. First is calculating target return according to the target replacement rate. Secondly, the study introduces oversea investment and infrastructure investment as the new investment channels.

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