国际投资中的汇率风险对冲问题研究

Risk management in international asset allocation from Chinese perspective

本文从中国投资者的视角出发,探讨国际投资组合中汇率风险管理问题.文章选取中国、德国、日本、英国、澳大利亚、加拿大和美国七个代表性国家的金融市场的股票与债券指数,建立含汇率风险对冲的多元化投资模型,考察人民币计价下国际投资组合中的风险构成.实证结果表明,远期合约可以有效对冲国际投资的汇率风险,优化组合有效边界.并且选择期限为三个月的远期合约投资效果比期限为一、二月的远期合约对冲效果更佳.

In this paper,we study the optimal strategy and exchange rate risk of the international portfolio.We choose the following seven representative countries' stock and bond indexes:China,Germany,Japan,England,Australia,Canada and America,and set up the portfolio model to hedge the exchange rate risk after the financial crisis.Our results show that forward contract is an effective financial tool to hedge the exchange rate risk and optimize portfolio efficient frontier in the international investment.It is also found that a period of three months forward contracts performance better than one month or two months forward contract.