基于随机规划模型的我国外汇储备资产配置问题应用研究.pdf

湖南大学硕士学位论文基于随机规划模型的我国外汇储备资产配置问题研究姓名:欧蓉申请学位级别:硕士专业:金融学指导教师:姚小义 20090531 硕上学位论文摘要外汇储备是一个国家货币当局持有并可以随时兑换外国货币的资产。随着世界各国外汇储备量的增长,各国越来越重视对外汇储备的积极管理。挪威、新加坡早在十多年前就成立了专门机构,负责外汇储备的投资管理,并取得积极成效。而长期以来,我国的外汇储备仅仅用来购买美国国债,并没有寻求更高的收益目标。自从2007年中国投资公司成立,我国外汇储备的积极管理正式提上同程。我们迫切需要建立一个外汇储备的投资基准,为我国外汇储备的资产配置提供借鉴。资产负债管理模型是应用于银行、保险等金融机构的有效模型。把资产负债管理模型运用到外汇储备管理上,对于提高外汇储备的投资收益率、规避投资风险具有重要意义。首先,本文介绍了资产负债管理的典型模型,从Markowitz的均值——方差模型到随机规划模型,其中重点介绍了多阶段随机规划模型。然后,描述了我国外汇储备的管理现状,提出建立外汇储备资产负债管理模型的必要性,并把多阶段随机规划模型运用于我国的外汇储备的投资管理上。考虑到未来经济环境的不确定性,本文收集了1990--2008年美、日、德三国的长期国债(以十年期为代表)、股指收益率和汇率的月度数据,运用向量自回归方法进行经济情景生成,预测未来各个情景的收益率和汇率。最后,用matlab求解多阶段随机规划模型,得到我国外汇储备的最佳资产配置结构。模型结果显示,我国外汇储备过度集中于美元资产,尤其是美国国债。这样, 过于集中的投资结构不仅使得外汇储备的收益率低,而且容易遭受美元贬值的风险。要提高投资收益率,必须实现投资币种、投资品种的多元化,在世界范围投资于更丰富的资产。关键词:外汇储备;资产配置;资产负债管理;随机规划 H Abstract Foreign exchange reserves are assets that are held ary authorities,and thev are convertible intoforeign currencies oftheforeign exchange reserves,countries are increasing paying attention toactivemanagement OI foreign exchange than ten years ago,Norway and Singapore established special agencies,which were responsible for investment offoreign exchange reserves and were crowned with a long time,the foreign exchange reserve ofChina has only purchased thegovernment bonds ofAmerica,not devote to higher China Investment Corp established in 2007,active management offoreign exchange reserve has been brought all investIIlent benchmark isthe urgent requirement foroffering reference for our asset allocation of foreign exchange and liability management IS a good method applied inbanks and insurance offoreign exchange reserve isofgreat investment. ALM tothemanagement significance forimproving its rate of return Oil Firstly'this paper introduced typical ALM models,in which a multi·stage stochastic programming model was thispaper detailed description of the actuality of our foreign