 Portfolio Design for Chinese Pension InvestmentMuyang Zhou ()
A chapter in Proceedings of the 2022 International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2022), 2022, pp 1131-1139 from Springer Abstract: 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. Keywords: Portfolio; pension; Sharpe ratio; China (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6463-052-7_127 Ordering information: This item can be ordered from DOI: 10.2991/978-94-6463-052-7_127 Access Statistics for this chapter More chapters in Advances in Economics, Business and Management Research from Springer |
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