Date of Award

2023

First Advisor

Kenneth Knox

Second Advisor

Robert Putz

Abstract

The pension reserve system is an important component of a multi-level social security system. From the perspective of the international and domestic situation, studying the asset allocation of China's pension reserve funds and continuously upgrading and optimizing them is a meaningful exploration. Firstly, based on the Markowitz model framework, the article analyzes that the income of China's pension reserve funds is more dependent on the stock market, and the stable style of pension reserve funds is not suitable for the rapid rise and fall of the capital market. By comparing the Markowitz model, the constant proportion investment model, and the B-L model, the characteristics of the risk parity model are compared and analyzed, and an asset allocation framework based on the risk parity model is summarized, characterized by balanced risk and stable returns. The risk parity asset allocation theory is highly compatible with the target demand for pension reserves. Secondly, using the quantitative analysis method to simulate the allocation of the national social security fund in China's pension reserve fund, and conducting a backtesting of the fund's returns, it was found that under the guidance of the risk parity model, the fund had less volatility and a better Sharpe ratio. Therefore, it is concluded that the risk parity model is suitable for the total demand for long-term investment and stable operation of pension reserve funds, providing a new perspective for asset allocation of pension reserve funds.

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