大宗商品资产战略配置模型研究

From the situation of coexistence of economic transition and industrial upgrading, this project put forwards international commodity assets strategic allocation framework, tactical optimization model, and systemic risk management strategy. The framework consists of two layer systems. In the first layer, this project analyses the necessity to break through the traditional financial assets into strategic commodities assets theoretically. Following the strategic consideration, the research proposes an inter-temporal optimization model for international assets allocation consisting of stock index funds, government bonds and commodity index funds. It is also combined with China’s new economic growth pattern to make the necessary adjustment. Using this strategic framework, the strategic value and the optimal allocation for each asset class in the long run under various settings of inter-temporal substitution and risk aversion could be obtained. In the second layer, this project develops a series of multi-stage stochastic programming models for commodity assets tactics optimization in terms of commercial needs of manufacturing enterprises and non-commercial needs of long-term investment institutions. These models facilitate long-term investment and dynamic adjustment for commodity assets effectively, under the principle of safety, liquidity and profitability. Last but not the least, this project improves the commodity assets strategic allocation framework and tactical optimization models step by step through the integration of the two layer systems and dynamic system simulations. By simulating available macroeconomic uncertainty shocks, this project also puts forward systemic risk emergency management strategy for commodity assets investment. The commodity assets strategic allocation framework studied in this project highlights the great strategic significance of industrial upgrading, competitiveness promotion and the long-term protection of national economy, which provides new ideas and new methods for long-term investment institutions, such as sovereign wealth funds, pension institutions, to implement strategic asset allocation. Innovations are embodied in the extension of strategic requirement into principles of international asset allocation, strategic asset allocation framework for inter-temporal hybrid configuration, tactical optimization strategy via multi-stage stochastic programming models, systemic risk management for commodity asset portfolios in a holistic view and new method for scenario tree generation in consistent with changing economic environment.

从转型经济和产业升级并存的国情出发，提出保障战略资源安全和国民财富积累的国际商品资产战略配置与战术优化模型及系统性风险管理策略，分两层体系展开。第一层，在论证商品资产配置必要性的基础上建立金融资产与商品资产混合配置的跨期优化模型，给出不同消费偏好和风险厌恶设定下长期最优配置比例，并结合新经济增长模式进行必要的结构调整。第二层，在安全性、流动性与收益性匹配原则下，建立一系列服务于生产性企业商业需求和长期投资机构非商业需求的多类型多品种商品资产战术优化多阶段随机规划模型，实现商品资产长期投资和动态调整。整合两层模型，进行动态系统仿真并逐步修善。模拟宏观经济不确定性冲击，提出系统性风险应急管理策略。模型体系突出战略性内涵，为主权财富基金、养老金等长期投资机构实现国际商品资产战略配置提供新思路和新方法。创新体现在跨期混合配置的战略框架、基于随机规划模型的战术优化、系统性风险管理和情景树生成新技术。

在新常态成为中国经济发展主旋律的背景下，我们正心平气和、聚精会神地追求长期利益和战略价值。这就为大宗商品配置的指导思想与操作理念提出了新的课题。因此，要完善战略配置的思想，形成战略配置与战术优化配合的投资策略与技术。从转型经济和产业升级并存的国情出发，本课题旨在提出保障战略资源安全和国民财富积累的国际商品资产战略配置与战术优化模型及相应的风险管理策略。首先提出了服务于实体经济的商品资产战略配置的内涵、目标与基本理念，基于新古典角度建立了一个商品资源储备和证券资产均衡配置的理论模型，从理论上论证了战略配置商品资产的必要性，明确了大宗商品资产配置应当具有战略视角，并形成以战略性、安全性、流动性和收益性为原则的投资指导思想。其次，结合商品金融化背景，充分挖掘商品定价影响因素，基于情景树生成技术形成了不依赖状态分布的商品资产收益未来不确定性刻画。在此基础上，战略配置与战术优化模型分两层体系展开：第一层，建立了金融资产与商品资产混合配置的跨期优化模型，给出不同消费偏好和风险厌恶设定下长期最优配置比例，并结合新经济增长模式进行必要的结构调整；第二层，在安全性、流动性与收益性匹配原则下，建立了一系列服务于生产性企业商业需求和长期投资机构非商业需求的多目标、多层次的战术型配置策略和套期保值策略的多阶段随机规划模型，从而实现了操作性强的多类型、多品种商品资产的长期投资和动态调整。最后整合两层模型，进行动态系统分析并逐步修善。模型体系突出战略性内涵，为主权财富基金、养老金等长期投资机构实现国际商品资产战略配置提供新思路和新方法。创新体现在跨期混合配置的战略框架、基于随机规划模型的战术优化、系统性的风险管理思路和情景树生成新技术。本研究不仅具有重要的学术价值，更具有重要战略意义。