外汇储备资产的多目标优化及动态投资组合研究

In the context of international financial crisis and the depreciating high foreign exchange reserves, its important issue of the imminent to manage foreign exchange reserve, improve its use efficiency, preserving and increasing the value of foreign exchange reserves. Firstly, based on divide multilevel demand of foreign exchange reserve, build the optimal scale decision model base on multilevel substitution effect, and using the optimization quantitative methods to work out moderate and excess reserves scale; Optimized currency structure moderate reserve using the improved Dooly model and AHP model, and work out the optimal currency weight, and we use MV model or build matrix solution out the optimal asset weight; Thirdly, establishing optimal configuration model of excess foreign exchange reserve asset base on final wealth expected utility maximization of CRRA utility function and VaR minimization. Meanwhile we Attempted to introduce multiobjective optimization genetic algorithm NSGA-Ⅱ, used Matlab to solve the optimal target model, then further worked out the optimal portfolio; Finally, establishing multiobjective and multi-level risk control system of foreign exchange reserve assets. Thus we form a multilevel foreign exchange reserves risk management system with multilevel divide as premise, scale decision as basis, multiobjective structural optimization and dynamic investment portfolio as method, risk control to guarantee, keep value and added value as ultimate aim.

在我国持有巨额外汇储备并面临不断贬值风险的背景下，如何管理外汇储备，提高使用效率，并使其保值增值是迫在眉睫的重要问题。首先，在对外汇储备需求进行多层次划分的基础上，构建基于多层次替代效应的最优规模决定模型，运用最优化数量方法测算出外汇储备适度和超额规模；其次，运用改进的杜利模型和AHP模型优化适度储备的币种结构并求解出最优币种权重，进而利用MV模型或构建矩阵求解最优资产权重；再次，通过构建基于CRRA效用函数的期末财富期望效用最大化和VaR最小化的超额储备资产优化配置模型，尝试性地引入多目标优化的NSGA-Ⅱ遗传算法，并利用Matlab软件对目标模型求解，得出超额外汇储备的最优投资组合；最后，构建多目标、多层次的外汇储备资产风险控制体系。从而形成一个以外汇储备多层次划分为前提，规模决定为基础，多目标结构优化和投资组合为手段，风险控制为保证，保值增值为最终目标的多层次外汇储备风险管理体系。

在中国持有高额外汇储备并需要提高使用效率和优化管理的背景下，本项目以金融安全与国家利益为视角，紧密围绕“外汇储备资产的多目标优化及动态投资组合”这一核心主题，对外汇储备的多层次需求及规模测度、适度外汇储备的多目标结构优化、超额外汇储备资产的多目标动态投资组合、构建多目标及多层次的外汇储备风险管理体系，四大部分主要研究内容开展深入系统的研究。共取得与本课题相关的科研成果14项，包括标注本项目的国内权威期刊《管理科学学报》和《金融研究》、国际SSCI期刊和EI期刊论文11篇，《北京大学出版社》出版标注本项目的学术专著1本，上海市政府重要内参《专家反映》和《学术观点参考》刊发的决策咨询成果2项。课题研究成果的意义在于：（1）丰富和补充外汇储备的相关文献，为我国外汇储备的优化管理提供理论借鉴和经验证据。（2）为中国人民银行和国家外汇管理局等掌握外汇储备管理主导权的政府部门提供可操作性较强的政策建议。（3）为商业银行和主权财富基金公司等参与外汇储备资产的投资管理部门提供投资决策参考依据。