| 基于CVaR与矩匹配方法的外汇储备资产配置动态随机优化模型 |
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| 引用本文： | 宋晓东,韩立岩.基于CVaR与矩匹配方法的外汇储备资产配置动态随机优化模型[J].管理评论,2011(3). |
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| 作者姓名： | 宋晓东 韩立岩 |
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| 作者单位： | 北京航空航天大学经济管理学院; |
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| 基金项目： | 国家自然科学基金项目(70831001);国家自然科学基金创新研究群体科学基金项目(70821061) |
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| 摘 要： | 本文建立了一个动态的随机优化模型,对我国外汇储备在国际资产中的配置问题进行研究。采用基于矩匹配方法生成的情景树代表资产价格波动与币种间汇率变动的不确定性,将管理当局对于外汇储备安全性、流动性、收益性的要求统一纳入模型中,最终计算出外汇储备各资产的动态配置比例。结果表明,运用动态随机优化模型对我国外汇资产进行动态配置灵活、有效。
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| 关 键 词： | 外汇储备 资产配置 情景生成 随机优化 |
Assets Allocation of Foreign Reserve Based on Dynamic Stochastic Optimization Model |
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| Song Xiaodong , Han Liyan.Assets Allocation of Foreign Reserve Based on Dynamic Stochastic Optimization Model[J].Management Review,2011(3). |
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| Authors: | Song Xiaodong Han Liyan |
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| Institution: | Song Xiaodong and Han Liyan(School of Economics and Management,Beihang University,Beijing 100191) |
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| Abstract: | In this paper,we present a dynamic stochastic optimization model to study the international allocation problem of the foreign exchange reserves.We use scenario tree generated by moment matching method to show the uncertainty in asset price and exchange rates,and take the safety,liquidity and profitability required by management authority into the dynamic model.Finally,we calculate the dynamic asset allocation of foreign exchange reserves.The results indicate that it's flexible and effective to use dynamic s... |
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| Keywords: | foreign reserves assets allocation scenario generating stochastic optimization |
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