According to the regulation of the Trial Procedures for Occupational Pensions, this paper presents restraint terms of money market instrument, mid and long-term national debt, convertible bonds and stock based on Mean-CVaR Model and develops an asset allocation model for management of occupational pension fund. According to the concrete conditions of finance market and occupational pensions funds at home, we get the optimal asset allocation proportions of the four investment instruments and the corresponding risk measurement index-CVaR value of the annual return for different replacement ratio, and analyze the change of the optimal asset allocation proportions based on the assumption of return on assets follows normal distribution.
庄新田, 姜硕, 朱俊. 基于均值-CVaR模型的企业年金资产配置[J]. J4, 2009, 6(11): 1518-.
ZHUANG Xin-Tian, JIANG Shuo, ZHU Jun. Study on Asset Allocation of Occupational Pension Fund Based on Mean-CVaR Model. J4, 2009, 6(11): 1518-.