TY - GEN
T1 - Research on how to optimize the structure of China's foreign reserve
AU - Jie, Ma
AU - Lei, Li
PY - 2012
Y1 - 2012
N2 - To improve the operation efficiency of the Chinese foreign reserve, the true difficulty is to set scientific standards for the dynamic adjustment of the foreign reserve. This paper incorporates the CVaR model into the framework of "Risk-Return", and constructs a new programming model on the currency composition of China's foreign reserves. Based on the model we found and applying the monthly data during 2005.1~2009.7, we analyze the currency structure of the China's foreign reserve, and derive the optimal currency weights in different scenarios. According to the empirical analysis results, along with the international finance theory and the factual status, we confirm the availability of the new model.
AB - To improve the operation efficiency of the Chinese foreign reserve, the true difficulty is to set scientific standards for the dynamic adjustment of the foreign reserve. This paper incorporates the CVaR model into the framework of "Risk-Return", and constructs a new programming model on the currency composition of China's foreign reserves. Based on the model we found and applying the monthly data during 2005.1~2009.7, we analyze the currency structure of the China's foreign reserve, and derive the optimal currency weights in different scenarios. According to the empirical analysis results, along with the international finance theory and the factual status, we confirm the availability of the new model.
KW - Conditional Value-at-Risk
KW - Convex optimization
KW - Foreign reserve
KW - Structure management
UR - https://www.scopus.com/pages/publications/84865587309
U2 - 10.1007/978-3-642-29458-7_98
DO - 10.1007/978-3-642-29458-7_98
M3 - 会议稿件
AN - SCOPUS:84865587309
SN - 9783642294570
T3 - Advances in Intelligent and Soft Computing
SP - 693
EP - 701
BT - Advanced Technology in Teaching - Selected Papers from the 2012 International Conference on Teaching and Computational Science, ICTCS 2012
T2 - 2012 International Conference on Teaching and Computational Science, ICTCS 2012
Y2 - 1 April 2012 through 2 April 2012
ER -