欢迎您！东篱公司
退出
-
申报数据库
-
立项数据库
-
成果数据库
-
项目获奖数据库
中文摘要：
本文建立了一个动态的随机优化模型,对我国外汇储备在国际资产中的配置问题进行研究。采用基于矩匹配方法生成的情景树代表资产价格波动与币种间汇率变动的不确定性,将管理当局对于外汇储备安全性、流动性、收益性的要求统一纳入模型中,最终计算出外汇储备各资产的动态配置比例。结果表明,运用动态随机优化模型对我国外汇资产进行动态配置灵活、有效。
英文摘要：
In this paper,we present a dynamic stochastic optimization model to study the international allocation problem of the foreign exchange reserves.We use scenario tree generated by moment matching method to show the uncertainty in asset price and exchange rates,and take the safety,liquidity and profitability required by management authority into the dynamic model.Finally,we calculate the dynamic asset allocation of foreign exchange reserves.The results indicate that it＇s flexible and effective to use dynamic stochastic optimization model in the dynamic allocation of the foreign exchange reserves.
同期刊论文项目
同项目期刊论文
Simulation of exit choosing in pedestrian evacuation with consideration of the direction visual fiel
A new model for studying the SO-based pre-trip information release strategy and route choice behavio
A cellular automaton model of traffic considering the dynamic evolution of velocity randomization pr
Continuum modeling of park-and-ride services in a linear monocentric city with deterministic mode ch
Route choice in pedestrian evacuation under conditions of good and zero visibility: Experimental and
Modelling heterogeneous drivers; responses to route guidance and parking information systems in stoc
Study and Application of Credit Scoring Models to Appraisal of the Loan to Chinese Companies with Un
位置：