The Research Of The Optimal Investment Portfolio Of China Sovereign Wealth Fund

As of the end of 2017,the total size of global sovereign wealth funds reached 7.58 trillion U.S.dollars,2.5 times the total size of hedge funds and being an important large institutional investor in international financial markets.With the rapid growth of the number and size of global sovereign wealth funds,the fund's investment style becomes more proactive and the investment portfolio tends to be more diversified.However,the diversification of investment also indicates the diversification of potential risks.For the sovereign states,how to build a portfolio with controllable risk and reasonable efficiency,and improve the effectiveness of investment and management of sovereign wealth funds so as to realize the healthy development of sovereign wealth funds are very important.Based on this,this paper studies how China's sovereign wealth funds can achieve the optimal investment portfolio under the premise of risk control.On the basis of the literature review of the current research on sovereign wealth fund portfolio,this paper firstly reviews the history of the development of global sovereign wealth funds and summarizes the current development status and characteristics of the investment management of China's sovereign wealth funds.Secondly,China's sovereign wealth fund's asset pool is constructed,and the future returns of all types of CIC assets are predicted by the Monte Carlo simulation method with modefied volatility.Then,the dynamic portfolio model based on risk control of WCVaR is established,to do the empirically studies and the optimal investment proportion of CIC is obtained.After testing,this paper finds this model can effectively control the investment loss under the extreme risk of the portfolio in the optimal portfolio research.Finally,based on the empirical results,this paper makes suggestions on the asset allocation of China's sovereign wealth funds and gives some related suggestions on risk control for CIC.This article suggests that CIC should appropriately reduce investment in long-term assets and fixed income assets while increasing the proportion of its investment in high-yielding assets such as US equities,emerging market equities and absolute return assets to increase its investment return and reach the optimal investment portfolio.