基于层次分析法的主权财富基金投资策略研究

发布时间：2018-03-05 19:37

本文选题：主权财富基金　切入点：层次分析法　出处：《上海交通大学》2014年硕士论文　论文类型：学位论文

【摘要】：本文主要关注主权财富基金投资组合的国别因素，运用层次分析法，在经济合作与发展组织成员国范围内选择备选国家，并将备选国家的金融市场指数作为代表对象，运用拐角组合法求出最优配置组合。本文首先考虑了主权财富基金在全球范围内配置资产的可能影响因素，通过构建投资环境评价指标结构，确定了一系列指标作为国别因素的评价标准。其次，通过问卷调查的形式，运用层次分析法确定了各项指标对资产配置决策的影响权重。然后，对OECD国家的各项评价指标进行打分，并根据各项指标的权重进行加权加总，得到34个OECD国家的排序。最后，选择得分排序靠前的10个国家作为主权财富基金的资产配置标的，运用拐角组合方法，，通过Java迭代循环算法解出各个拐角组合的收益率、风险及夏普比率，并确定夏普比率最大的组合作为最优资产配置组合。本文的研究为主权财富基金在确定战略资产配置方案时提供了一套具有可操作性的决策流程，为主权财富基金的投资管理人考察国别因素时提供了可量化的思维框架。
[Abstract]:This paper focuses on the country factors of sovereign wealth fund portfolio, applies AHP to select alternative countries in the member countries of the Organization for Economic Cooperation and Development, and takes the financial market index of the alternative countries as the representative object. The optimal configuration combination is obtained by using the corner combination method. In this paper, we first consider the possible influence factors of sovereign wealth funds' asset allocation in the global scope, and establish a series of indicators as the evaluation criteria of country factors by constructing the investment environment evaluation index structure. Through the form of questionnaire, the influence weight of each index on asset allocation decision is determined by AHP. Then, the evaluation index of OECD country is graded, and the weight of each index is added up. Finally, the top 10 countries are selected as the asset allocation target of sovereign wealth fund, and the return rate of each corner combination is calculated by Java iterative loop algorithm. Risk and Sharp ratio, and determine the Sharp ratio of the largest portfolio as the optimal asset allocation portfolio. The research in this paper provides a set of operable decision-making process for SWFs to determine the strategic asset allocation scheme and a quantifiable thinking framework for SWFs' investment managers to investigate the country factors.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F125

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