發(fā)布時間：2018-05-03 00:39

  本文選題：主權(quán)財富基金 + 背景風險理論��； 參考：《上海交通大學》2013年碩士論文

【摘要】：本世紀以來，全球主權(quán)財富基金數(shù)量和規(guī)�？焖僭鲩L。在日趨動蕩和復雜的國際金融市場環(huán)境下，，主權(quán)財富基金抗風險能力較差，危機中業(yè)績出現(xiàn)較大程度的下滑。本文試圖將背景風險理論引入主權(quán)財富基金資產(chǎn)配置的研究中，并就影響主權(quán)財富基金風險資產(chǎn)配置的背景風險因素展開理論與實證分析。 首先，界定了本文討論的主權(quán)財富基金的定義，介紹了主權(quán)財富基金的發(fā)展、運營概況和投資特點，進而對主權(quán)財富基金的背景風險，即那些難以在金融市場上通過資產(chǎn)組合進行分散的風險進行了識別，并就全球典型主權(quán)財富基金做了案例分析。 其次，構(gòu)建引入背景風險的最優(yōu)風險資產(chǎn)配置理論模型，采用解析推導方法從理論上證明背景風險因素對主權(quán)財富基金最優(yōu)風險資產(chǎn)配置的影響。研究表明：（1）當主權(quán)財富基金的背景資產(chǎn)與風險資產(chǎn)正的相關(guān)性越強時，其持有的風險資產(chǎn)比例越低；（2）當主權(quán)財富基金的背景負債與風險資產(chǎn)正的相關(guān)性越強時，其持有的風險資產(chǎn)比例越高。 最后，采用多元回歸分析方法，實證檢驗（商品）出口收入或財政收入與MSCIACWI的相關(guān)性、上述收入的波動率、（商品）進口支出或財政支出與MSCIACWI的相關(guān)性、上述支出的波動率以及出口收入或財政收入來源集中度等背景風險因素對主權(quán)財富基金的風險資產(chǎn)配置的影響。 實證研究表明：（1）主權(quán)財富基金風險資產(chǎn)配置比例與背景資產(chǎn)和風險資產(chǎn)相關(guān)系數(shù)負相關(guān)，與背景負債和風險資產(chǎn)相關(guān)系數(shù)正相關(guān)；（2）主權(quán)財富基金風險資產(chǎn)配置比例與背景資產(chǎn)來源集中度負相關(guān)，但結(jié)果不穩(wěn)健。另外，主權(quán)財富基金風險資產(chǎn)配置比例與其基金絕對規(guī)模（控制變量）正相關(guān)。本文的理論與實證結(jié)論對主權(quán)財富基金從國家背景視野進行戰(zhàn)略資產(chǎn)配置具有指導作用。
[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.
【學位授予單位】：上海交通大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F831.5;F224

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本文編號：1836200