Empirical Research Of Sovereign Wealth Fund Portfolio Based On Dynamic Asset Allocation

Sovereign wealth funds(SWFs) are growing rapidly in number and size since this century, especially in developing countries such as China, South Korea, Russia, whose SWFs set up one after another, attracting increasingly widespread attention. This paper proposed a kind of dynamic asset allocation model based on SWFs' background risk.Firstly, this paper discussed the definition of SWFs, summarized the basic characteristics of SWFs, and studied the current situation of SWFs and their impact on the global economy.Secondly, this paper studied the background risk of SWFs, discussed the constitution of SWFs' background assets and background liabilities, and finally focused on some typical SWFs' background risks and their asset allocation behavior.Thirdly, this paper summarized predecessors' research on resident investors and university endowment funds, proposed a kind of dynamic asset allocation model based on SWFs' background risk, and figured out the analytical solution of the model by using stochastic dynamic programming method in the end.Finally, this paper collected data of SWFs, and studied the impact of background risk on SWFs asset allocation with the method of multiple regression analysis.The results of this paper may make sense to the strategic asset allocation behavior on national level.