背景风险与主权财富基金风险资产配置研究

发布时间：2018-05-03 00:39

本文选题：主权财富基金 + 背景风险理论　；参考：《上海交通大学》2013年硕士论文

【摘要】：本世纪以来，全球主权财富基金数量和规模快速增长。在日趋动荡和复杂的国际金融市场环境下，，主权财富基金抗风险能力较差，危机中业绩出现较大程度的下滑。本文试图将背景风险理论引入主权财富基金资产配置的研究中，并就影响主权财富基金风险资产配置的背景风险因素展开理论与实证分析。首先，界定了本文讨论的主权财富基金的定义，介绍了主权财富基金的发展、运营概况和投资特点，进而对主权财富基金的背景风险，即那些难以在金融市场上通过资产组合进行分散的风险进行了识别，并就全球典型主权财富基金做了案例分析。其次，构建引入背景风险的最优风险资产配置理论模型，采用解析推导方法从理论上证明背景风险因素对主权财富基金最优风险资产配置的影响。研究表明：（1）当主权财富基金的背景资产与风险资产正的相关性越强时，其持有的风险资产比例越低；（2）当主权财富基金的背景负债与风险资产正的相关性越强时，其持有的风险资产比例越高。最后，采用多元回归分析方法，实证检验（商品）出口收入或财政收入与MSCIACWI的相关性、上述收入的波动率、（商品）进口支出或财政支出与MSCIACWI的相关性、上述支出的波动率以及出口收入或财政收入来源集中度等背景风险因素对主权财富基金的风险资产配置的影响。实证研究表明：（1）主权财富基金风险资产配置比例与背景资产和风险资产相关系数负相关，与背景负债和风险资产相关系数正相关；（2）主权财富基金风险资产配置比例与背景资产来源集中度负相关，但结果不稳健。另外，主权财富基金风险资产配置比例与其基金绝对规模（控制变量）正相关。本文的理论与实证结论对主权财富基金从国家背景视野进行战略资产配置具有指导作用。
[Abstract]:Since this century, the number and scale of global sovereign wealth funds have grown rapidly. In an increasingly volatile and complex international financial market environment, sovereign wealth funds are less resilient to risk, and performance in the crisis has declined to a greater extent. This paper attempts to introduce the background risk theory into the study of asset allocation of sovereign wealth funds, and carries out theoretical and empirical analysis on the background risk factors that affect the allocation of risk assets of sovereign wealth funds. First of all, the definition of SWF discussed in this paper is defined, and the development, operation and investment characteristics of SWF are introduced. Those risks that are difficult to spread through portfolios in financial markets have been identified and case studies have been made on typical global sovereign wealth funds. Secondly, the theoretical model of optimal risk asset allocation with background risk is constructed, and the influence of background risk factors on the optimal allocation of risk assets of sovereign wealth funds is theoretically proved by using analytical derivation method. The study shows that the higher the positive correlation between the background assets and the risk assets of SWFs, the lower the proportion of risky assets held by SWFs. (2) when SWFs have a stronger correlation between background liabilities and risky assets, The higher the proportion of risky assets it holds. Finally, using the method of multiple regression analysis, this paper empirically tests the correlation between export income or fiscal revenue and MSCIACWI, the volatility of the above income and the correlation between import expenditure or fiscal expenditure and MSCIACWI. The impact of risk factors such as volatility of these expenditures and concentration of export earnings or revenue sources on risk asset allocation of sovereign wealth funds. The empirical study shows that the proportion of risk assets allocation of SWFs is negatively correlated with the correlation coefficient of background assets and risky assets. The ratio of risk asset allocation in SWFs is negatively correlated with the concentration of background asset sources, but the results are not robust. In addition, sovereign wealth fund risk asset allocation ratio and its fund absolute size (control variable) positive correlation. The theoretical and empirical conclusions of this paper can guide sovereign wealth funds to allocate strategic assets from the perspective of national background.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F831.5;F224

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