主权财富基金的战略价值——基于国民效用与风险对冲的视角

The Strategic Value of Chinese Sovereign Wealth Fund

本文将我国主权财富基金作为国家整体经济布局的海外投资手段,通过建立理论模型分析了我国主权财富基金的战略价值与模式选择。首先,在实现国民效用最大化的目标下,建立了两基金分离模型。结果表明:我国主权财富基金的最优投资模式是将其分离成组合收益型和战略型两大类基金。其次,对战略型主权财富基金进行了理论分析和实证研究。结果表明:是否设立我国战略型主权财富基金取决于其通过对冲国内经济发展风险所增加的国民效用水平,而不是收益率的大小;战略型基金的最优规模与国内经济规模、国内经济总风险以及管理当局的风险厌恶水平成正比。针对石油、钢铁和有色金属行业的模拟结果论证了战略型基金对于对冲国内风险和提升国民福利水平的显著作用。

A model is designed to analyze investment strategy of Chinese sovereign wealth fund （SWFs） based on specific investment objectives and investment areas, regarding SWFs as investment vehicle of the overall economy. Firstly, the two- funds separation model shows that the best investment strategy could be divided into two funds, the income SWFs and the strategic SWFs. The first one as the finance investment just aims at the returns after risk-adjust, the later as a hedge instrument of the risk of the whole country prefers to invest the strategic industry. Secondly, the research focused on the strategy SWF such as the establish conditions, the optimal scale and how to impact on the whole national welfare. The theoretical analysis and simulation suggest that the establishment of strategic SWFs depends on the increase of the national welfare instead of the returns on investment and the more the strategic SWFs hedges the national development risk, the more the whole national welfare increases.