The entrance of the social security funds to stock market faces many risks because of its special characteristics and the special environments of China’s stockmarket. In order to achieve the balance of social security funds between the p rofitability and safety of social security funds after their entrance to stock market, it is necessary to p ractise effective risk management. Mean - variance model, β coefficientmodel, VaR model and CVaR model are widely app lied in the measurement of asset risk, and mean - varance model andβ coefficient analysis indicate that the systematic risk of social security funds is smaller than that of whole stock market. VaR and CVaR weight of each share is obviously bigger than their combination, which reveals that investment combination can separate the risk