货币配置对国际资产配置的意义

The Affection of Currency Allocation to International Asset Allocation

国际资产配置中包括资产收益和汇率收益两部分。汇率收益的期望和方差对总资产的配置有着重要的影响。对美、日、欧、澳、中5种货币历史数据的实证分析显示,利用马科维茨资产组合理论对国际资产组合进行货币配置能够带来显著的超额收益。

Assets and exchange rates are the two central parts of international asset allocation.The expectation and variance of earning from exchange rates have significant affection to international asset allocation.Markowitz theory of portfolio can bring remarkable benefit when used in the currency allocation part,which can be found in the empirical analysis of USD,JPY,EUR,AUD and CNY.