中国主权财富基金投资策略:基于均值-方差-CVaR模型  

The Investment Strategy of China's Sovereign Wealth Fund: Based on the Mean-Variance-CVaR Model

作　　者：喻海燕[1] 马晟[1] 

机构地区：[1]厦门大学经济学院金融系

出　　处：《投资研究》2014年第4期27-40,共14页Review of Investment Studies

基　　金：国家社科基金"我国主权财富基金投资与风险管理研究"(项目编号:13BJY175);教育部哲学社会科学重大课题攻关项目"我国外汇储备的科学管理及运用战略问题研究"(项目编号:12JZD027)的阶段性研究成果

摘　　要：20世纪90年代以来,全球主权财富基金的数量和规模都迅速发展,主权财富基金已成为当今国际金融市场重要的参与者,其投资行为对一国宝贵的外汇资源财富以及国家整体战略发展产生重要影响。本文基于均值-方差-CVaR模型,放宽约束条件,考虑凸风险测度及收益率序列肥尾特征,把极端情况如金融危机爆发时的平均损失考虑在内。在此基础上,在全球范围内模拟构建资产池,对中国主权财富基金投资的最优组合进行研究。研究结论表明,中国主权财富基金投资的最优组合和美国市场关系比较密切;其中固定收益类资产占比最高,现金类资产次之。Since 1990s,the number and size of global sovereign wealth funds has been growing larger rapidly,and sovereign wealth funds have become important players in the international financial markets.Their investment activities not only have great impacts on the global capital markets and asset prices,but also affect a country＇s foreign exchange reserve and development strategy.In this paper,we employed mean-variance-CVaR model and relaxed some constraints in the model.We also took the convex risk measure,fat tail features of yield and average loss in extreme cases,such as the outbreak of the financial crisis,into consideration.Based on the previous model setting,we further simulated the construction of asset pool on a global scale,and studied the optimal asset portfolio of China＇s sovereign wealth fund.Our conclusions showed that the optimal asset portfolio of China＇s sovereign wealth fund is closely related with the capital markets in the United States;in the optimal asset portfolio,fixed-income assets occupy first place,and cash comes second

关 键 词：主权财富基金 最优投资组合 CVAR 

分 类 号：F224[经济管理—国民经济] F832.48