我国国际储备资产的混沌特征与优化配置  

The chaotic characteristics and structural optimization of China's international reserve

作　　者：杨楠[1] 林柱[2] Yang Nan Lin Zhu(School of Statistics and Management, Shanghai Key Laboratory of Financial Information Technology, Shanghai University of Finance and Economics, Shanghai 200433, China Shanghai Stock Exchange, Shanghai 200120, China)

机构地区：[1]上海财经大学统计与管理学院,上海市金融信息技术研究重点实验室,上海200433 [2]上海证券交易所,上海200120

出　　处：《系统工程学报》2017年第1期55-65,共11页Journal of Systems Engineering

基　　金：国家自然科学基金资助项目(71303145);上海市教育委员会科研创新资助项目(13ZS049)

摘　　要：将混沌分析方法应用于国际储备资产的风险刻画及结构优化,使用CR检验、BDS检验和关联维数分析验证黄金与外汇收益序列的混沌特性,结合关联维数与CVaR来刻画序列的总风险,并进行优化配置分析.研究发现:黄金的关联维数与各外汇有异质性;黄金的加入对国际储备资产的收益和风险有显著影响;提高黄金占比有助于控制结构风险;黄金与外汇的异质性来源于货币与商品双重属性所决定的价格形成机制上的差异性.This paper applies chaotic methods in structural optimization and risk measurement of international reserves assets. It uses CR test, BDS test and correlation dimension to verify the existence of the return series＇ chaotic characteristics. It is found that the correlation dimension of gold is greater than that of any foreign exchange at the same term. Three contrast models with correlation dimensions and CVaR indicate that gold has a significant impact on the international reserves＇ return and risk. Besides, increasing the proportions of gold can help control structural risk. Finally, the paper makes a further investigation to bring in silver, platinum and palladium for our comparison analysis. The result indicates that they have homogeneity in correlation dimension and CVaR with gold and heterogeneity with foreign exchanges.

关 键 词：国际储备 结构优化 混沌检验 关联维数 风险度量 

分 类 号：F830.9[经济管理—金融学]