中文摘要：

通过构建多周期条件风险价值偏差（CVaRD）模型来研究中国个人账户养老金投资的最优策略.基于基本养老保险基金投资管理规定,假定个人账户允许投资3种类型,以优化CVaR为目标,先建立情景树,情景树的层数由养老金投资决策改变的次数决定,利用最优化方法将养老金储蓄额的期望与养老金储蓄额投资的条件风险价值之差化成一个非线性规划,利用迭代算法求解,得到每一期条件风险价值偏差的最小值、每一期的养老金储蓄额的期望以及养老金投资选择分配方式.结果表明：条件风险价值偏差的最小值随投保者年龄增大而增大;养老金储蓄额的期望均大于预期财富目标;随着投保者年龄增大,投资风险较大的F1的比例逐渐降低,投资无风险型F3的比例逐渐增大,说明随着年龄增大,追逐风险的意愿下降.

英文摘要：

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 Flgradually reduces, investment no risk F3 ratio gradually declines, which indicate that with the increasing of age, chasing a willingness to risk decreases.