Study on the Portfolio of Housing Provident Fund
分析了全国住房公积金投资结构的变化，指出利率风险是主要风险，构建了基于久期的多目标规划模型，发现六个月定期存款和三年期凭证式国债可构成理想组合。
The authors summarize the change process of the investment structure of nation-wide housing provident fund in recent years,analyze the return and risk of bank deposits and government bonds,and point out that the interest rate risk is the main risk of housing provident fund portfolio.Then a multi-objective programming model based on duration is constructed.Empirical analysis shows that the six-month fixed deposit and the 3-year certificate bonds have a high investment value,and 80% of the former and 20% of the latter can constitute an ideal housing fund portfolio.