Research on How to Optimize the Structure of China's Foreign Reserve

摘要

To improve the operation efficiency of the Chinese foreign reserve, the true difficulty is to set scientific standards for the dynamic adjustment of the foreign reserve. This paper incorporates the CVaR model into the framework of "Risk-Return", and constructs a new programming model on the currency composition of China's foreign reserves. Based on the model we found and applying the monthly data during 2005.1-2009.7, we analyze the currency structure of the China's foreign reserve, and derive the optimal currency weights in different scenarios. According to the empirical analysis results, along with the international finance theory and the factual status, we confirm the availability of the new model.