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Song Xiaodong, Han Liyan. Research on Currency Allocation of Foreign Exchange Reserve Based on Mean- CVaR Model[J]. Journal of Beijing University of Aeronautics and Astronautics Social Sciences Edition, 2012, 25(2): 82-87.
Citation: Song Xiaodong, Han Liyan. Research on Currency Allocation of Foreign Exchange Reserve Based on Mean- CVaR Model[J]. Journal of Beijing University of Aeronautics and Astronautics Social Sciences Edition, 2012, 25(2): 82-87.
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Research on Currency Allocation of Foreign Exchange Reserve Based on Mean- CVaR Model

  • School of Economics and Management, Beijing University of Aeronautics and Astronautics, Beijing 100191, China

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  • Received Date: January 03, 2011
  • Published Date: March 24, 2012
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    • Abstract
  • We analyze the volatility of the exchange rate of various foreign exchange reserves based on VAR model and present dynamically the risk of the different currency structure of foreign exchange reserves by using DCC-GARCH model combining with the conditional value at risk(CVaR). Ultimately, according to Markowitz mean-variance model, we propose the mean-CVaR model to study the dynamic optimal currency structure of China-s foreign exchange reserves under different target yields. The results show that dynamic allocation can reduce the CVaR risk of foreign exchange reserves significantly at the same given yield rate.
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    • References (18)
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