The Research Of Sovereign Wealth Funds’ Risk Asset Allocation Under Background Of Risk

Data of Sovereign wealth fund institute (SWFI) statistics showed that as of October2014, the total scale of75sovereign wealth funds had been6.84trillion. In its rapid growth in quantity and scale, sovereign wealth funds are facing increasingly volatile and complex international investment environment at the same time, especially in the US subprime crisis of2008and the European debt crisis of2009, its investment income appeared such sharply drop that risk had been the focus of investors, which is different from the risk in the classical portfolio that can be changed through the portfolio and dispersive risk of financial assets. It is exogenous. In other words, the traditional portfolio theory has its limitations. This article try to find the background risk factors effect on sovereign wealth fund asset allocation, so as to reveal the connection of sovereign wealth fund investment behavior and to achieve the Pareto Optimal of risk asset allocation.This article based on the traditional portfolio theory、decreasing absolute risk aversion (DARA) and vulnerability risk assumption. The paper try to put the background risk into the model of optimal risk asset portfolio, and through the analysis the effect of each background risk factors in the model on the optimal portfolio, that is background risk asset has a negative effect on the optimal risk asset portfolio; Background liabilities for optimal risk assets ratio has a positive effect; Since background and sovereign risk has both positive and negative effect,its impact is uncertain. Then under the assumption of decreasing absolute risk aversion (DARA) and vulnerability risk, the paper analyses the sovereign wealth funds have aversion effect for asset allocation from the effect of the income effect, preference effect and correlation effect, volatility effect.On the empirical, firstly, this text analysis the differences which include the risk asset allocation between CIC and typical sovereign wealth funds to; Secondly, using multiple indicators to build the evaluation system of the background risk for the sovereign wealth funds and accurately measuring the different level of sovereign wealth fund background risk in the international position and amplitude by dimensionless entropy weight method, then building panel model, using fixed effects feasible generalized least squares method to analyse17 sovereign wealth funds which have different asset source and its child samples in2009-2012panel data econometric. Study found that background liabilities volatility, the correlation between background assets and quasi investment financial market have positive correlation with sovereign wealth funds risk asset allocation proportion, and has a greater influence on trade export-oriented sovereign wealth funds. Background asset volatility, the central government liabilities have a negative effect, background asset volatility has more influence; Background assets flexibility and the correlation between background assets and quasi investment financial market background in child sample have efficient negative effect on sovereign wealth funds in the asset allocation, but not significant in the whole sample.Finally, this paper combined background risk, the risk asset allocation and the empirical analysis conclusion of CIC, four policy suggestions are out forward for the optimal risk asset allocation optimization of CIC from the investment strategy, investment portfolio, transparency, risk management, in order to achieve a promotion in asset allocation and risk management.