汇率风险下货币资产的优化组合及其算法

Optimal Structure and Algorithm of Monetary Assets Under Exchange Rate Risk

本文利用随机参数系统的优化方法探讨在汇率风险下其货币资产组合问题.根据汇率变动的随机游动假设和经济法人视风险为一种损失的假定,本文导出了在不同目标下控制货币资产组合的最优决策及其算法.如果目标是使资产未来价值的期望值最大化,最优决策可通过求解一个有约束的线性预测控制问题得到.如果目标是使资产的风险最小和未来价值的期望值最大,优化问题便是求解一个有约束的线性二次型预测控制问题.

This paper is devoted to the optimizing structure of monetary assetswhich are calculated in different currencies.Taking the random walk hypothesisof exchange rates and assuming that economic agents consider risk asa kind ofloss,the paper proposes some optimal decisions and an algorithm for the contr-olling of monetary assets under different objectives.If the objective is to maxima-ze the expectation of assets,the optimal decision can be derived by solving aconstrained linear prediction control problem.However,i(?) the objective is bothto minimize risk and maximize the expectation of assets,the optimization beco-mes one of solving a constrained linear quadratic prediction control problem.