主权财富基金资产配置对收益率影响研究

发布时间：2018-01-19 02:19

本文关键词： 主权财富基金资产配置收益率　出处：《安徽大学》2017年硕士论文　论文类型：学位论文

【摘要】：主权财富基金(Sovereign Wealth Fund)是由一般政府为宏观经济目的而创建,主权财富基金所有者持有,治理和管理资产采用一套包括投资于外国金融资产的投资策略以实现财务目标。中国投资有限责任公司的成立,标志着我国第一家主权财富基金的诞生,其组建宗旨是实现国家外汇资金多元化投资,在可接受风险范围内实现股东权益最大化,服务于国家宏观经济发展和深化金融体制改革的需要。由于中国投资有限责任公司巨大的资本实力和我国特殊的政治背景,我国主权财富基金的一举一动都受到世界的瞩目,特别是主权财富基金资产配置的问题直接关系到收益率的高低,然而中国投资有限责任公司自成立以来的多项投资都饱受国内外的诟病,其中很大原因是对资产配置理解的不足,因此如何对这种资产庞大的基金进行资产配置成为了关键性的问题。但是由于我国目前这方面起步比较晚,对主权财富基金资产配置这一环节研究比较少,还没有形成系统的认识,因此本文以主权财富基金资产配置以及资产配置对收益率的影响作为对象进行研究,为我国主权财富基金提供关于资产配置方面的建议。本文先对主权财富基金进行整体的介绍,包括主权财富基金的概念,分类,以及全世界主权财富基金的规模,并总结了国内外关于主权财富基金资产配置这一方面的研究成果。之后详细的从资产类别,行业,区域和合作配置这四个方面的现状对主权财富基金资产配置做了全面的分析,并探讨了主权财富基金在做这些资产配置时背后深层次的原因。最后进行主权财富基金资产配置对收益率的实证分析,包括选取变量的原因,数据的处理,利用横截面模型对主权财富基金资产配置对收益率的关系做详尽的分析且得出结论,并依据相关结论对中国投资有限责任公司做出一些关于资产配置方面的对策和建议及对未来的展望。
[Abstract]:The Sovereign Wealth Fund (Sovereign Wealth Fund) is a general government for macroeconomic purposes to create a sovereign wealth fund owner, governance and management of assets by a set of investment in foreign financial assets investment strategy to achieve financial goals. The China Investment Corp was established, marking the birth of China's first sovereign wealth fund and its formation the purpose is to realize the diversification of foreign exchange capital investment in the acceptable risk range to maximize the interests of the shareholders, serve the needs of national macro economic development and the deepening of the reform of the financial system. Because the China Investment Corp huge capital strength and special political background in China, China's sovereign wealth funds are every act and every move attention in the world, especially the asset allocation of sovereign wealth funds is directly related to the level of the yield, but Chinese Since the establishment of a number of investment investment limited liability company are criticized at home and abroad, which is a big reason for insufficient understanding of asset allocation, so how to this huge asset fund asset allocation has become a key problem. But because our country at present it started relatively late, the study of asset allocation of sovereign wealth fund this link is relatively small, there is no system of knowledge, therefore, the sovereign wealth fund asset allocation and asset allocation effect on the rate of return as the research object, to provide advice on asset allocation for China's sovereign wealth fund. This paper first introduces the whole concept of sovereign wealth funds, including sovereign wealth fund classification, as well as the size of the world's sovereign wealth fund, and summarized about the asset allocation of sovereign wealth funds in this aspect After detailed research results. From the asset class, industry, regional cooperation and configuration status of these four aspects has made the comprehensive analysis on the asset allocation of sovereign wealth funds, and discusses the reasons behind the sovereign wealth fund in the asset allocation. Finally analyze the sovereign wealth fund asset allocation on empirical income the rate of reasons including variable selection, data processing, asset allocation for sovereign wealth funds to do a detailed analysis on the relationship between yield and the conclusion using cross section model, and according to the relevant conclusions of the China Investment Corp to make some asset allocation countermeasures and suggestions and prospects for the future.

【学位授予单位】：安徽大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

【相似文献】