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

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Portfolio Design for Chinese Pension Investment

Authors
Muyang Zhou1, *
1School of Mathematics, Fudan University, No. 220 Handan Road, Shanghai, China
*Corresponding author. Email: 19300180137@fudan.edu.cn
Corresponding Author
Muyang Zhou
Available Online 27 December 2022.
DOI
10.2991/978-94-6463-052-7_127How to use a DOI?
Keywords
Portfolio; pension; Sharpe ratio; China
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.

Copyright
© 2022 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2022 International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2022)
Series
Advances in Economics, Business and Management Research
Publication Date
27 December 2022
ISBN
978-94-6463-052-7
ISSN
2352-5428
DOI
10.2991/978-94-6463-052-7_127How to use a DOI?
Copyright
© 2022 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Muyang Zhou
PY  - 2022
DA  - 2022/12/27
TI  - Portfolio Design for Chinese Pension Investment
BT  - Proceedings of the 2022 International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2022)
PB  - Atlantis Press
SP  - 1131
EP  - 1139
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-052-7_127
DO  - 10.2991/978-94-6463-052-7_127
ID  - Zhou2022
ER  -