摘要
鉴于产业发展对大宗资源需求价格的不确定性和外汇储备面临的机会成本,建立了基于产业需求的外汇储备战略投资优化模型。该模型结合了组合套期保值和均值方差两个模型,在确保外汇储备投资收益大于机会成本的约束下,实现了进口价格波动最小,进而降低了外部市场价格的冲击。实例表明,该战略投资等价于进行实物资产配置,可以成为拓展外汇储备投资结构的一种良好途径。
In view of the risk of the instable prices of resources under industrial development and facing the uncertainty of the opportunity cost of foreign exchange reserve,it establishes a strategic investment optimization model based on industry demand for foreign exchange reserve.The model is a combination of hedging and mean-variance models.In ensuring investment incomes is more than the opportunity cost for foreign exchange reserve,it minimizes the risk of the import price of resources,which thereby reduces the external market price shocks.Empirical results show that the strategic investment is equivalent to physical asset allocation.It is a good way for investment in foreign exchange reserve.
出处
《软科学》
CSSCI
北大核心
2010年第6期31-35,共5页
Soft Science
基金
国家自然科学基金重点项目(70831004z)
关键词
外汇储备
产业需求
战略投资
套期保值
实物资产配置
foreign exchange reserve
industry demand
foreign investment
strategic investment
hedging
physical asset allocation
