基于WCVaR的我国外汇资产优化配置的实证研究

发布时间：2019-03-16 16:37

【摘要】：将基于WCVaR的资产组合风险控制问题转化为一个资产最优配置问题,在传统的WCVaR资产组合模型的基础上加入我国跟外汇储备国的贸易结构、我国关于外汇储备国外债结构以及外汇储备国货币经济发展水平等约束条件,在WCVaR模型的研究基础上得到了更符合我国实际的一类新的扩展模型。并且应用Mablab软件对模型求解,得到各年度各币种配置比例,最后结合我国历史数据进行实证研究和模型绩效分析。结果表明,该资产配置模型更适合我国当期外汇储备的实际情况,通过绩效分析得出,在进行外汇资产组合时可根据我国跟资产储备国的贸易结构、我国关于资产储备国外债结构以及资产储备国货币国经济发展水平等指标约束设定合理的目标财富值,同时加以适当的风险约束,可实现我国外汇资产配置最优化。
[Abstract]:The WCVaR-based portfolio risk control problem is transformed into an optimal asset allocation problem. On the basis of the traditional WCVaR portfolio model, the trade structure between China and foreign exchange reserve countries is added. On the basis of the research on the structure of foreign debt of foreign exchange reserve countries and the level of monetary and economic development of foreign exchange reserve countries, a new kind of extended model, which is more in line with the reality of our country, is obtained on the basis of the study of WCVaR model. Mablab software is used to solve the model, and the allocation ratio of each currency in each year is obtained. Finally, the empirical research and model performance analysis are carried out according to the historical data of our country. The results show that the asset allocation model is more suitable for the actual situation of China's current foreign exchange reserves. Through the performance analysis, it can be concluded that the foreign exchange assets portfolio can be based on the trade structure between China and the asset reserve countries. The optimal allocation of foreign exchange assets can be achieved by setting reasonable target wealth value and appropriate risk constraints on the structure of foreign debt of asset reserve countries and the level of economic development of asset reserve countries.
【作者单位】：北京航空航天大学经济管理学院;宁夏大学数学计算机学院;
【基金】：国家自然科学基金重点资助项目(70831001) 宁夏自然科学基金资助项目(NZ1025)
【分类号】：F832.6

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