中国主权财富基金资产配置:基于对冲汇率风险视角  

A Research of the Strategic Asset Allocation of China Sovereign Wealth Fund:Perspective of Hedging the Dollar Exchange Risk

作　　者：喻海燕[1] 郝呈祥 

机构地区：[1]厦门大学经济学院金融系 [2]广发融资租赁(广东)有限公司

出　　处：《投资研究》2017年第5期15-28,共14页Review of Investment Studies

基　　金：国家自然科学基金"动态优化视角下的中国外汇储备全面风险管理研究"(立项号:71473208)的阶段性研究成果;中央高校基本科研业务费专项资金资助;项目编号:20720161053

摘　　要：本文将外管局管辖的外汇储备纳入中投公司资产配置目标函数,基于对冲汇率风险视角,对主权财富基金资产配置进行最优化分析。研究结论显示:(1)当预期目标收益率为7.5%时,最优资产组合配置是股票40.85%,大宗商品43.61%,房地产15.54%;中投公司未来应减少对债券和对冲基金的投资,增加对境外大宗商品和部分国家房地产的投资;(2)当前外管局管辖下的外汇储备规模过高,应适当移交部分给中投公司管理,为避免对中投公司目前的资产组合造成冲击,应当分批逐次向中投公司注资。This paper incorporates the foreign reserves managed by SAFE into our object function and conducts an strategic as- set allocation optimization analysis of the sovereign wealth fund of our country from the perspective of hedging the dollar ex- change risk. The main conclusions and recommendations are as follows： （1）In the light of current ratios of foreign exchange re- serve allocation, the share of stocks in CIC＇s optimal strategic asset allocation is about 40.85%, commodities around 43.61%, real estate around 15.54%; （2）According to the current scale of foreign exchange reserves, reserves should be injected into CIC in batches by SAFE, which means foreign exchange reserves under SAFE＇s management shrink after the transfer.

关 键 词：主权财富基金 战略资产配置 汇率风险 

分 类 号：F832.6[经济管理—金融学]