This paper makes use of statistical tools of parameter correlation, multi-parameter regression, and does experimental analysis on issues of risk diversification of portfolios entrusted by National Social Security Fund...This paper makes use of statistical tools of parameter correlation, multi-parameter regression, and does experimental analysis on issues of risk diversification of portfolios entrusted by National Social Security Fund (NSSF). The issues are industry related investment fields distribution, the trend of capitalization movement, and investment style factors in stock selection. The results show that there are risk problems with portfolios entrusted by NSSF, which include similar investment fields distribution trend, little difference among portfolios, and high risk preference degree.展开更多
The key to sustainability of social security fund is increasing its value, while the key to increasing the value of the social security fund is income of agency entrusted investment. Agency relationship of social secu...The key to sustainability of social security fund is increasing its value, while the key to increasing the value of the social security fund is income of agency entrusted investment. Agency relationship of social security Fund involves four agents, among which the entrustment between National Council for Social Security Fund （SSF） and social security fund management company is a key element. Due to information asymmetry phenomenon in the entrustment management process, the fund needed to establish the appropriate entry and exit criteria, and relying on a third party to avoid agency risks.展开更多
文摘This paper makes use of statistical tools of parameter correlation, multi-parameter regression, and does experimental analysis on issues of risk diversification of portfolios entrusted by National Social Security Fund (NSSF). The issues are industry related investment fields distribution, the trend of capitalization movement, and investment style factors in stock selection. The results show that there are risk problems with portfolios entrusted by NSSF, which include similar investment fields distribution trend, little difference among portfolios, and high risk preference degree.
文摘The key to sustainability of social security fund is increasing its value, while the key to increasing the value of the social security fund is income of agency entrusted investment. Agency relationship of social security Fund involves four agents, among which the entrustment between National Council for Social Security Fund （SSF） and social security fund management company is a key element. Due to information asymmetry phenomenon in the entrustment management process, the fund needed to establish the appropriate entry and exit criteria, and relying on a third party to avoid agency risks.
