本文選題：主權(quán)財(cái)富基金　切入點(diǎn)：層次分析法　出處：《上海交通大學(xué)》2014年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：本文主要關(guān)注主權(quán)財(cái)富基金投資組合的國(guó)別因素，運(yùn)用層次分析法，在經(jīng)濟(jì)合作與發(fā)展組織成員國(guó)范圍內(nèi)選擇備選國(guó)家，并將備選國(guó)家的金融市場(chǎng)指數(shù)作為代表對(duì)象，運(yùn)用拐角組合法求出最優(yōu)配置組合。 本文首先考慮了主權(quán)財(cái)富基金在全球范圍內(nèi)配置資產(chǎn)的可能影響因素，通過(guò)構(gòu)建投資環(huán)境評(píng)價(jià)指標(biāo)結(jié)構(gòu)，確定了一系列指標(biāo)作為國(guó)別因素的評(píng)價(jià)標(biāo)準(zhǔn)。其次，通過(guò)問(wèn)卷調(diào)查的形式，運(yùn)用層次分析法確定了各項(xiàng)指標(biāo)對(duì)資產(chǎn)配置決策的影響權(quán)重。然后，對(duì)OECD國(guó)家的各項(xiàng)評(píng)價(jià)指標(biāo)進(jìn)行打分，并根據(jù)各項(xiàng)指標(biāo)的權(quán)重進(jìn)行加權(quán)加總，得到34個(gè)OECD國(guó)家的排序。最后，選擇得分排序靠前的10個(gè)國(guó)家作為主權(quán)財(cái)富基金的資產(chǎn)配置標(biāo)的，運(yùn)用拐角組合方法，，通過(guò)Java迭代循環(huán)算法解出各個(gè)拐角組合的收益率、風(fēng)險(xiǎn)及夏普比率，并確定夏普比率最大的組合作為最優(yōu)資產(chǎn)配置組合。 本文的研究為主權(quán)財(cái)富基金在確定戰(zhàn)略資產(chǎn)配置方案時(shí)提供了一套具有可操作性的決策流程，為主權(quán)財(cái)富基金的投資管理人考察國(guó)別因素時(shí)提供了可量化的思維框架。
[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.
【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F125

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