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本文通过对主权财富基金的发展与中国主权财富基金现状进行研究,构建CRRA效用模型来分析我国主权财富基金最优资产配置,并运用金融市场风险测度方法VAR分别从风险框架与内外部风险层次深入分析其投资风险,在此基础上得出我国主权财富基金最优资产配置形式为效用增量最大化,我国主权财富基金资产风险管理模式为四维风险管理框架下的内外部风险度量与管理,最后建议我国主权财富基金应施行资产管理与风险管理相结合,提高其投资效率。
This paper studies the development of sovereign wealth funds and the current situation of China’s sovereign wealth funds, constructs the CRRA utility model to analyze the optimal asset allocation of China’s sovereign wealth funds, and uses the financial market risk measure method VAR from the risk framework and internal and external risk levels Analyzes its investment risk, and draws the conclusion that the optimal asset allocation form of China’s sovereign wealth fund maximizes utility increment. The asset risk management model of China’s sovereign wealth fund is the internal and external risk measurement and management under the four-dimensional risk management framework. Finally, It is suggested that China’s sovereign wealth funds should implement a combination of asset management and risk management to improve their investment efficiency.