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This article from the perspective of the Chinese investors a currency allocation method based on the Markowitz portfolio theory . International asset allocation currency allocation and portfolio allocation can be divided into two levels , the application of the Markowitz portfolio model can also be divided into two sets of parameters , this article propose a new method for currency allocation from the theory and examples of two angles . This article the currency allocation process is divided into two parts : the fine-tuning , and application of the model and selection model . First step to assume that the foreign exchange market is an efficient market expectations of exchange rate gains for the efficient market model ; then assumed that the foreign exchange market, non- market -based macroeconomic variables added long-term expectations of exchange rate gains , the establishment of efficient market model ; Section the second step, selected models with better performance , to join specific short-term exchange rate impact factors and model fine-tuning , the final application configuration collection . In the example, the paper selected five major currencies of the dollar, the yen , the euro , the Australian dollar and the RMB as an example . Select the exchange rate of change bivariate regression three variables relative to the rate of change of GDP and the rate of change of the relative money supply , respectively, to get U.S. dollars , yen , the euro , the Australian dollar against the RMB exchange rate prediction formula , and then get the non - efficient market return of exchange rate expectations in the model . Select 2005 January to 2011 9 Yue of historical data , respectively, applications such as the right to re- configure , effective market model and non- effective market model carried analog configuration , and compare the same risk under the income rate , the results show an effective market model and non- effective market model gains are significantly higher than other weight configuration model superior to the efficient market model , the performance of the efficient market model in a period of steady economic growth , but poor performance during the economic crisis . The current period of steady economic growth in the post-crisis period , the efficient market model is superior to the efficient market model . The analysis shows that short-term factors , the appreciation of the power of the U.S. dollar in the short term RMB stabilize the yen , the euro , the Australian dollar has pressure to devalue . Fine-tuning of the efficient market model , this article has been the currency of the underlying currency to the dollar, the yen , the euro , the Australian dollar , the RMB configure the efficient frontier .
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