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Portfolio Design for Chinese Pension Investment

In: Proceedings of the 2022 International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2022)

Author

Listed:
  • Muyang Zhou

    (Fudan University, School of Mathematics)

Abstract

The article mainly discusses the investment of pension savings in China, which is an essential topic due to the aging problem in China. The assets in the portfolio are INTC, TXN, XLP and BRSVX, determined by the asset categories and risk diversification. To simulate the change in pension savings, exchange rate of CNY to USD is applied. The expected returns of the assets are calculated by the FF3F model and portfolio weights are determined by maximizing the Sharpe ratio. The final portfolios are one investing all of the pension savings and one investing only 30% of the pension savings. The maximum Sharpe ratio of the latter portfolio is larger than the former one. They both have higher expected return than most of the assets included in the portfolio and have lower variance than the stocks. The result also shows that single assets instead of funds have greater impact in forming the weight of portfolio. The results in this paper benefit the related investors in financial markets.

Suggested Citation

  • Muyang Zhou, 2022. "Portfolio Design for Chinese Pension Investment," Advances in Economics, Business and Management Research, in: Faruk Balli & Au Yong Hui Nee & Sikandar Ali Qalati (ed.), Proceedings of the 2022 International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2022), pages 1131-1139, Springer.
    • Handle: RePEc:spr:advbcp:978-94-6463-052-7_127
    DOI: 10.2991/978-94-6463-052-7_127
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