外汇储备币种结构优化管理——基于二次规划法

Optimizing the Currency Structure of Foreign Exchange Reserves Management:Based on Two Iterative Optimization Algorithm

现阶段,在我国央行对外汇储备实际管理过程中,既要考虑外汇储备收益,更要兼顾其风险。风险管理水平的高低直接影响外汇储备的安全。基于有效边界理论,采用二次优化迭代算法,引入拉格朗日算子求解我国外汇储备最优结构。研究结果表明,二次规划法求解我国外汇储备最优结构是有效的。这对提高我国外汇储备收益率或降低其风险具有重要的现实意义。

At this stage,China^s central bank foreign exchange reserves in the actual management, usually will take into account the risks and benefits of a variety of foreign exchange reserves.In the field of foreign exchange reserve management,based on the effective boundary theory,using two iterative optimization algorithm,introducing the Lagrange operator to solve the optimal structure of China＇s foreign exchange reserves,to build China＇s foreign exchange reserves risk management strategy.The results show that,based on the optimal structure of China＇s foreign exchange reserves by two times from the perspective of optimization algorithm,for our country to improve the foreign exchange reserves and yields so as to minimize the risks,has important practical significance.