Portfolio Of Foreign Exchange Assets And Industrial Project Decisions

Since the Foreign Exchange System Reform in 1994, China's foreign exchange reserve has been expanded rapidly. By the end of March 2010, China's foreign exchange reserve balance is already up to 2.4471 trillion dollar. This enhances our capacity of payment and interference in foreign exchange markets, but it means we have abandoned the right to import industrial resources to improve our economy. The Chinese Investment Corporation was founded in September 2007, this indicated that China has pay close attention to foreign exchange reserve management, and taken the active management of foreign exchange reserve. Active management of foreign exchange reserve is, on the premise of meeting the necessary liquidity and security of reserve assets, to establish special investment institution with the surplus reserve. We can wide the reserve investment channels, prolong it's term or take the manner of combined investment, so as to promote the yield.In recent years, USD is no longer a no-risk currency, in this paper we apply the theory of investment, and take RMB as criterion currency. We study the problem of the foreign exchange reserve asset's portfolio weight by using the classical portfolio theory. We analyse the exchange rate data from August 1,2006 to April 8,2010, and evaluate the current structure of reserve assets.Besides, we introduce the real option approach in project investment analysis, and compare with the traditional means. The uncertainty of the exchange rate are further considered by using the real options approach. In this paper draw the option pricing model included in foreign exchange assets of investment projects, and calculate the explicit solution of the model. We also give the specific steps for decision-making method...