关键词: 多周期条件风险价值偏差, 最优投资策略, 情景树, 非线性规划

Abstract: The optimal strategy of the individual pension investment in China is constructed by constructing multi-period conditional value-at-risk deviation（CVaRD）model. Based on the basic old-age insurance fund investment management regulations, assume that individual account allows investment three types, aiming at optimizing CVaR. The scenario tree is established. The levels on scenario tree are decided by the change times of pension fund investment. Optimization the difference between the pension savings expectations and the average risk value of pension savings investment is transformed into a nonlinear programming. Using the iterative algorithm, each minimum of the conditional value-at-risk deviation, each issue of pension savings expectations and pension investment choice distribution are soluted. The results show that the minimum value of conditional value-at-risk deviation increases with the increasing of the age of the insured; pension savings expectations are greater than expected wealth; with the increasing of the insured age, the proportion of the investment larger risk F1gradually reduces, investment no risk F3 ratio gradually declines, which indicate that with the increasing of age, chasing a willingness to risk decreases.

Key words: multi-period condition value-at-risk deviation, optimal pension fund management, scenario tree, the non-linear program