The Multi-level Optimization Allocation of Trading Foreign Exchange Reserve Assets:
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| Title | The Multi-level Optimization Allocation of Trading Foreign Exchange Reserve Assets:
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| Author | Luo Sumei and Zhou Guangyou,Institute for Financial Studies, Fudan University |
| Organization | School of Economy and Management, Tongji University; |
| Email | luosumei@126.com,zgy@fudan.edu.cn |
| Key Words | Trading Foreign Exchange Reserves; Multi-level Demand; Optimal Allocation; AHP Model; MV Model |
| Abstract | This paper try to put AHP and MV model in the analysis framework of the optimal allocation of trading foreign exchange reserve assets in the perspective of multi-level demand. Firstly, on the basis of multi-level division in the foreign exchange reserve assets, construct the optimal money structure deciding model of trading foreign exchange reserve assets, and estimate the optimal money weight. Secondly, make the structural optimization AHP model of the trading foreign exchange reserve assets, and use MV model to solve out the optimal asset structural weight, accordingly achieving the rational combination of the money structure selection and the assets structural optimization. Finally, introduce the actual data of foreign exchange reserve to work out the specific scale of trading foreign exchange reserves in the optimal money structure for about five years and the specific holding scale of every kind of money in optimal asset structure. The results of the study show that the dollar plays a decisive role in every money weight and the monetary savings and money market funds should be the main allocation of trading foreign exchange reserve assets. Therefore, when we optimize the allocation of trading foreign exchange reserve assets we should be decentralization but not blindly. |
| Serial Number | WP423 |
| Time | 2013-02-21 |
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