中国外汇储备投资组合的优化配置——基于欧美国债数据的实证研究

结合中国外汇储备的实际情况,借鉴平均收益率-VAR的思路框架和最新算法,构建相应组合优化配置方法,同时采用其他主流组合配置方法作为参照对比,基于欧美主要核心国家国债的历史数据,给出各自方法的中国外汇储备投资组合的配置策略。随后,利用历史数据验证了平均收益率-VAR组合优化方法及相应组合配置策略,相对其他方法及相应组合配置策略,在市场波动条件下的优越性,以期该方法以及相应的配置策略可以对于中国外汇储备的投资组合配置提供重要参考。

The Investment Portfolio Optimization of Foreign Exchange Reserve of China Based on the Empirical Research on the Government Bonds of Developed Countries

This paper proposes a feasible method to optimize the investment portfolio selection of Chinese foreign exchange reserve based on the government bonds of central developed counties.This method employs the average return-VAR method and the new algorithm.And then this paper also samples other main stream methods and uses the historical data to check the results to give the advantage of the method and its result under the fluctuation of the bond market.The method and its result might give the help to the portfolio management of foreign exchange reserve of China.