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.

摘要： 面对单一的投资渠道以及居高不下的通货膨胀率，目前养老金缩水严重，如何提高养老保险基金的投资运营效率成为亟需解决的问题。基于单指数市场模型，RAROC理论以及VaR理论基础，构建风险调整后的均值-VaR模型，实证分析我国养老保险基金部分市场化运营模式下的最优资产配置效率。结果表明，部分的市场化运营模式更能保证基金的安全性和稳定性，同时也能克服通货膨胀压力，实现基金的保值增值。部分市场化模式下的资产配置原则，应该以无风险资产为主，适当的引入稳健收益型的风险资产，同时持股比例应该根据市场发展状况进行有弹性的调整，达到保值增值的目的。