CAJ | 학술논문

本文通过建立一个多目标的随机规划模型，根据储备管理当局不同的投资偏好和面临的不同经济状态．对我国外汇储备在国际资产中的配置问题进行研究。本文采用随机稀疏树模拟价格波动的不确定性．将储备管理当局对外汇储备管理的收益性、流动性和安全性三原则纳入统一的目标函数．最终计算得到在不同投资偏好状态下外汇储备各资产的最优配置比例，并得到在不同经济状态来临时，储备资产结构的调整趋势。本文建议，应实时评估各资产的收益性、安全性和流动性。在经济状态多变的环境下，抓住有利时机对外汇储备资产结构进行战略调整。
본문통과건립일개다목표적수궤규화모형，근거저비관리당국불동적투자편호화면림적불동경제상태．대아국외회저비재국제자산중적배치문제진행연구。본문채용수궤희소수모의개격파동적불학정성．장저비관리당국대외회저비관리적수익성、류동성화안전성삼원칙납입통일적목표함수．최종계산득도재불동투자편호상태하외회저비각자산적최우배치비례，병득도재불동경제상태래림시，저비자산결구적조정추세。본문건의，응실시평고각자산적수익성、안전성화류동성。재경제상태다변적배경하，조주유리시궤대외회저비자산결구진행전략조정。
This paper establishes a muhi-objective stochastic programming model to study the alloca？tion of China＇ s foreign exchange reserves, according to investors＇ different investment preferences and different economic states. The generation of sparse trees of stochastic variables is adopted to match historical price of assets, and this model captures the three objectives： profitability, liquidity and safety into the unified objective function. We fi？nally calculated the optimal allocation proportion of each type of asset, and the trend of asset adjustment in different economic states. This paper suggests that we should estimate the profitability, liquidity and safety of assets in real time, and seize the favorable opportunity to carry out strategic adjustment of the reserve structure in the changeable economic environment.