RESEARCH ON DIVERSIFIED CURRENCY ALLOCATION OF FOREIGN EXCHANGE RESERVE BASED ON MEAN - CVAR MODEL

摘要

We analyse the yield rates of different foreign exchanges that have been reserved by using VAR model and presents dynamically the risk of the foreign exchange reserves under different currency structures by combining DCC-GARCH model with the conditional value at risk, CVaR. Ultimately based on Markowitz mean-variance model, it generates the mean-CVaR model to study the optimal dynamic currency structure of China's foreign exchange reserves under different target yields.