Abstract: Abstract: This paper will analyze the optimal asset allocation of pension fund via the risk adjusted mean-VaR model based on the single index model, the theory of RAROC(Risk Adjusted Return On Capital) and Value at Risk. Besides, we will make use of the market data to simulate actual operation situation based on this model. The empirical results shows that partial marketization operating mode can better guarantee fund security and stability than full-market oriented, but also can overcome the inflationary pressure to keep the maintenance and appreciation of value of pension fund. The optimal asset allocation principle in the condition of partial marketization should give the priority to the risk free assets, the proportion of steady income risky assets should be controlled strictly, and the shareholding ratio should be adjusted according to the market development, thus ensure the maintenance and appreciation of value.