基于Black-litterman模型的外汇储备资产投资策略研究——基于行为金融观点

The Strategy Research of Foreign Exchange Reserve and Assets Investment on the Black-litterman Model:Based on Behavioral Finance View

外汇储备的安全与增值问题是一个重大问题,本文分析了我国外汇储备的资产结构,发现我国资产结构严重偏倚美元,存在一定风险。诸多的研究也认识到投资多元化可以规避风险,增加储备收益,但是投资方法却略显粗糙,投资更多倚重于历史数据,本文依据行为金融理论分析,投资决策应该在传统优化资产组合方法的方法上加入主观观念,如此可以显著降低风险并且提高外汇投资收益,本文利用外汇数据进行投资模拟交易,通过加入主观预期的Black-Litterman模型进行了实证,实证结果显著支持本文的结论。

Security and increment of foreign exchange reserve is an important problem. This article analyses the asset structure of China＇s foreign exchange reserve and finds that the asset structure inclines to American dollars strictly, which will cause some risks. Many researchers have argued that diversified investment could avoid those risks and increase the profits. But this traditional investment strategy seems too rough, because it is often formulated by historical data. In order to solve this problem, this paper adopts the theory of Beavioral Finance and concludes that the investment strategy should connect the traditional optional portfolio method with subjective intention. Through this integration strategy, finance risks can be decreased and foreign exchange investment income will be increased significantly. In addition, the writer simulates the investment trade by using foreign exc through the Black - litterman model. The test result supports the conclusion of this paper remarkably.