WCVaR测度下企业稳健的国际贸易组合研究  

Robust Portfolio in International Trade under WCVaR

作　　者：胡大江[1] 任玉珑[1] 陈学梅[2] 谢非[2] 

机构地区：[1]重庆大学经济与工商管理学院,重庆400044 [2]重庆理工大学,重庆400050

出　　处：《重庆大学学报（社会科学版）》2010年第4期24-29,共6页Journal of Chongqing University(Social Science Edition)

基　　金：国家社会科学基金重点项目(08AJY028)

摘　　要：全球性或地区性经济和社会问题以及国际贸易摩擦不断出现,让置身其中的企业在国际贸易收汇中产生严重的不确定性,导致国际贸易汇率风险不确定,这就要求企业国际贸易需要更稳健的贸易组合。文章对企业国际贸易稳健组合优化问题进行研究,考虑汇率风险不确定性,以WCVaR作为风险度量指标,将企业国际贸易组合优化问题转化为一个最小—最大的资产组合优化问题,并构建稳健的贸易组合优化模型,并给出相应的求解方法,最后还结合中国外汇市场的历史数据进行实证分析。文章的研究是稳健控制理论在企业国际贸易风险控制领域的一个拓展,并期望此研究能帮助企业更有效地控制和管理其国际贸易汇率风险。The frequency of global or regional economic and social issues and international trade friction leads to the serious uncertainty in the settlement of foreign exchange and exchange risk in international trade, which requires companies in international trade more robust portfolio. This paper explores portfolio optimization in international trade, given the uncertainty of exchange risk, applies the worst case conditions for Value-at-Risk （WCVaR） to measure the risks index, transforms the portfolio optimization in international trade into a portfolio selection problem of rain-max form, builds portfolio optimization model in international trade, and gives the corresponding solution method. The empirical analysis uses the data of China＇ s foreign exchange market. The study is an expansion of the robust control theory in the field of risk control in international trade, and looks forward to helping companies to control and manage exchange risk in international trade more efficiently.

关 键 词：国际贸易 稳健 组合 WCVAR 

分 类 号：F740[经济管理—国际贸易]