【摘要】 以1999年12月31日到2005年3月31日我国外汇市场的实际汇率为依据,运用现代投资组合理论来化解我国外汇储备的汇率风险。经过实证分析得出以下结论:进行不同储备货币的投资组合,可以大大降低我国外汇储备面临的汇率风险;在相同风险下,投资组合的平均收益要远远高于单一持有美元的投资收益。更多还原

【Abstract】 Based on the date of real exchange rate in China’s foreign exchange market from December 31,1999 to March 31,2005,an empirical analysis was made of how to efficiently apply the modern investment theory to foreign exchange reserve’s exchange rate risk management in China.And some useful conclusions have been drawn from the analysis,such as: the foreign exchange rate risk has dramatically declined after the application of portfolio among different reserve management;the portfolio average revenue is far higher than the investment revenue of only holding US dollar asset.更多还原