引入背景风险理论的主权财富基金战略资产配置

Background risk theory focuses on considering investors' non-financial assets and liabilities other than financial assets, and that risk and covariance risk among them will change investors' optimal asset selection. Chinese Sovereign Wealth Fund is already the largest single investor in China. Considering background risk can optimize Sovereign Wealth Funds' global strategic asset allocation more effectively, fulfill the duties of smoothing inter-generation wealth and hedge national costs of production factors. The project will investigate the following four areas: (1) Investigate crowding-out effect and wealth effect of background risk under different utility function, analyze background risks' impact on asset allocation with specific Sharpe Ratio, and further develop the theory of background risk; (2)Define and identify the background assets and liabilities of Chinese Sovereign Wealth Fund, expand the classical portfolio theory, and solve the mean-variance efficient frontier containing exchange rates and investment horizon; (3) Based on two dimensional Geometric Brownian Motion assumptions of global stock markets and foreign exchange markets, set up sovereign wealth fund's national development strategic responsibility and inter-generation wealth smoothing responsibility, and establish dynamic global asset allocation under the framework of assets and liabilities background;(4) Use expected return and risk of financial markets as control variables, empirically test how background factors, such as background asset risks, background asset flexibility, and debt flexibility impact Sovereign Wealth Fund's assets allocation. The Innovation of the project includes: (1) Gollier（2001）'s background risk theory assumes that background risk has a non-positive expected return, which is inconsistent with most background risks that investors face. Our project extends this assumption to a background risk which has a specific Sharpe Ratio or expected return-risk ratio, and then study the wealth effect and crowding-out effect properties; (2) Establish a static mean-variance model and a dynamic asset allocation model with exchange rates under the framework of assets and liabilities. Exchange rates play an increasingly important role in the performance of global market investment, but yet no study of mean-variance analysis model has included it.(3) Test the relationship between asset allocation of sovereign wealth funds and their background assets, background debts, which will provide empirical evidence for the background risk theory.

背景风险理论是指投资过程中考虑金融资产以外的其它资产或者债务后，资产、债务的风险与协方差风险会改变投资者的最优资产选择。引入背景风险理论的主权财富基金能更有效优化其全球战略资产配置，履行跨代财富平滑和对冲国家要素采购成本的职责。本项目将展开如下四方面研究：（1）探讨不同效用函数引入背景风险后的挤出效应与财富效应，分析特定夏普比率的背景风险对资产配置影响；（2）定义和识别主权财富基金的背景资产和负债，拓展经典资产组合理论，求解包含汇率和投资期限的均值方差有效边界；（3）基于全球股市、汇市二维几何布朗运动假设，建立背景资产与负债框架下的动态全球资产配置，分别依据OECD国家和金砖国家、资源行业与战略产业进行参数校准，采用数值方法求解动态资产配置；(4)以金融市场预期收益、风险为控制变量，实证检验背景资产风险、背景资产灵活性、债务灵活性背景等因素对主权财富基金资产配置的影响。

背景风险理论是指投资时考虑金融资产以外的其它背景资产、债务风险因子。主权财富基金（SWF）通过全球化投资承担跨代财富平滑和对冲国家要素采购成本的职责，考虑背景风险能有效提高全球资产配置的有效边界。本项目研究内容包括：.（1）期望效用理论下考虑相加性背景风险时，资产投资数量与其超额收益和背景风险边际效用相关性有关；均值方差效用理论模型下资产投资数量与效用函数是否满足风险脆弱性等性质有关。.（2）探讨了主权财富基金的国家背景资产，建立了考虑背景资产后SWF最优战略资产配置模型，并证明了SWF对传统最优配置模型中各资产的再调整权重与背景资产和拟投资对象间的相关系数存在统计负相关关系。以中国SWF作为研究样本，考虑国家外汇储备资产以及承担的对外支付责任等背景因素，采用市场隐含预期收益和基于全球的市场模型两种方法估计拟投资对象预期收益，最后得到SWF战略资产配置结果。.（3）由于货币的异质性，选择外汇最优对冲比率可以达到风险调整后的预期收益率最大。考虑异质货币背景因素后，全球化投资包括最优股票选择和最优货币对冲选择。本研究建立了被动投资下的最优外汇对冲策略和主动投资下货币的最优外汇净敞口和最优资产配置策略。.（4）主权财富基金购买上市公司的股份可能会影响公司的基本面，因此存在市场效应。研究发现：（a）公告日期间的累计超额收益显著为正，而且和主权财富基金收购股份的比例呈正向关系；（b）被投资国的司法成熟度和主权财富基金的透明度对累计超额收益有着显著的正向影响；（c）SWF并不是一类行动派(Activist)投资者。.（5）以均值方差框架下理论模型为基础,实证研究背景资产和背景负债对资产配置策略的影响。主权财富基金的背景资产和金融资产相关性越高、背景资产来源集中度越高, 其风险资产配置比例越低; 主权财富基金背景负债和金融资产相关性越高, 其风险资产配置比例越高。