基于真实收益率的中国外汇储备最优币种结构分析

本文利用Markowitz提出的资产组合理论(Markowitz,1952),结合中国外汇储备结构的具体情况,根据经济实力、币值稳定性和交易匹配三大原则,摒弃含有诸多弊端的、单纯以美元计价的外汇储备收益率,改为采用以商品篮子衡量的外汇储备真实收益率作为期望收益率,利用二次规划工具求出了以4种外汇储备最优资产组合的风险有效前沿,测算出我国外汇储备最优币种结构,并给出相应建议,以期实现外汇储备保值增值的目标。

China foreign exchange reserve best currency structure analysis based on true Income rate

This paper according to Portfolio Theory presented by Markowitz(1952),combines with the specific situation in China,by three principles—economic strength,the currency value stability and trade matching.I abandon the simple dollar denominated reserves yield,and use the basket of goods to measure the foreign exchange reserve true yield as the expected rate of return.Then,I seek out the above 4 kinds of foreign exchange reserves the risk of optimal portfolio efficient frontier with two programming tool,calculate the optimal currency structure of foreign exchange reserve in our country,and give the corresponding suggestion,in order to achieve the goal of preserving and increasing the value of foreign exchange reserve.