主权财富基金投资收益影响因素的回归分析  

Research on the Influence Factors of the Sovereign Wealth Fund with Multiple Linear Regression Approach

作　　者：周超[1] 

机构地区：[1]中国劳动关系学院经济管理系,北京100048

出　　处：《北京理工大学学报（社会科学版）》2011年第5期16-20,共5页Journal of Beijing Institute of Technology：Social Sciences Edition

基　　金：国家软科学计划项目;教育部人文社会科学研究基金资助项目"主权财富基金投资模式与投资策略研究"(08JA790006)

摘　　要：以挪威主权财富基金投资收益为研究对象,在收集整理挪威主权财富基金2001—2009年相关数据的基础上,结合数理统计理论与方法,构建了主权财富基金投资收益多元线性回归模型,并进一步结合模型分析结果探讨了影响主权财富基金投资收益的因素。分析结果表明,债券投资比例对挪威主权财富基金收益率的影响最大,应加大对股票及其他的投资比例,而减少对债券及亚洲市场投资,加大对市场风险的控制和管理,从而增加投资收益率,研究结论为主权财富基金投资策略提供了理论依据与参考。The rate of return on investment of Norway Sovereign Wealth Fund was taken as research goal;the multiple linear regression model was built basing on the data from 2001 to 2009 of Norway Sovereign Wealth Fund with mathematical statistics theory and approach,and the influence factors were further discussed according to the analysis results.The analysis results indicate that the proportion of fixed income security investment are the most influential.Therefore we have to enhance its investment proportion,and reduce the investment on bond and Asian market,increase the control and management of market risks,then the rate of return on investment can be increased.The research results can supply theoretical support to the Sovereign Wealth Fund investment strategy.

关 键 词：主权财富基金 挪威政府养老基金 多元回归 投资收益率 风险 

分 类 号：F830[经济管理—金融学]