A Study On The Mean-CVaR Models Of Portfolio Optimization Based On The RMB Exchange Rate Indexes

The intention of this article is to make a research on the RMB Exchange Rate Indexes compiled by China Foreign Exchange Trade System(CFETS)by choosing the proper market risk indices and optimization models,to discuss its referencevalue for foreign exchange market investors to choose the properer investment portfolio,and to provide investors with optimization suggestions.We will discuss the mathematical properties of VaR and CVaR.Then we make the proof processes to show that VaR does not conform to the definition of Consistency of Risk Measurement,and portfolio optimization models restricted by VaR can hardly be solved by a convex programming.In the end,we prove that CVaR is the properer indice when compared with VaR.Because CVaR conforms to the definition of Consistency of Risk Measurement and portfolio optimization models restricted by CVaR can easily be solved by a convex programming.So our follow-up researches focus on the CVaR and the CVaR-Restrciton-Based Portfolio Optimization Models.The three Currency-Pair-Baskets that The CFETS RMB Exchange Rate Indexes refer to are the CFETS Basket,the BIS Basket and the SDR Basket.In order to establish our portfolios of foreign exchange,we select two representative baskets from the three,which are CFETS Basket and SDR Basket.We use the two models,which are the CVaR-Restrciton-Based Single-Period Portfolio Optimization Model and the CVaR-Restrciton-Based Multi-Period Portfolio Optimization Model,and the market data to solve the optimization.Then we get the minimum CVaR,VaR,optimized weights and profit-risk ratios of our portfolios.Finally,we provide our comment on the weight’s reasonableness of the two baskets set by CFETS and give suggetions to those investors who are going to establish their foreign exchange portfolios based on the CFETS RMB Exchange Rate Indexes.