关键词: 养老金入市, 城镇职工基本养老保险, 收支缺口, 最优投资组合

Abstract: By constructing a revenue and expenditure model of the Urban employees’Basic Pension Insurance Fund（UEBPI），compare the current status and changing trend of the revenue and expenditure of the UEBPI before and after entering the market，and analyzing the optimal investment rate of return under the condition of minimizing risk for the UEBPI’s pool The enlargement effect. This can help to probe into the financial risk caused by the UEBPI’s revenue/expenditure gap，and put forward suggestions for the improvement in terms of enlarging the size of the fund and optimizing the optimized portfolio allocation. The research results are as follows：first，pension entering the market is effective for reducing the UEBPI’s revenue/expenditure gap and can preserve and increase its value. The effect of narrowing the revenue/expenditure gap will increase year by year，and in 2046，the revenue/expenditure gap will be reduced by about RMB 205.364549 trillion，and in 2048，by RMB 256.39663 trillion. Second，a high rate of return on investment can reduce the size of the UEBPI’s revenue/expenditure gap，resolve the UEBPI’s predicament that the revenue cannot cover the expenditure，and relieve the increasing payment pressure of China’s finance. In the case of optimal rate of return on investment，the size of reducing the fiscal burden can grow from RMB 237.042017 trillion in 2046 to RMB 302.690587 trillion in 2048. The power of UEBPI’s high rate of return on investment in reducing fiscal burden increases on a yearly basis. And finally，there is still space for improving UEBPI’s asset allocation combination，and in the future it will incline to new types of infrastructure construction and investment on non-standard assets. Especially，the status of medicine and health industry in China which concerns national economy and people’s livelihood，in the background of the COVID-19 outbreak in 2020，will be further improved in the government’s work.

Key words: Pension Entering Market, Urban Employees’Basic Pension Insurance, revenue/expenditure gap, optimized portfolio