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The paper makes analysis of the optimal currency composition of international reserves based on Markowitz mean-variance model using Monte Carlo simulation for solution. We calculate US dollar and Euro as the two major reserve currencies for 2007 through 2009, which is also the financial crisis stage. The model suggests to decrease US dollar in late 2007 and to increase US dollar in mid 2008. Our findings...
The paper makes analysis of the strategic investment risks towards banking shares in Chinese stock markets based on Markowitz mean-variance model using Monte Carlo simulation for solution. Three stocks from banking fields, including state owned, joint stock, and city commercial banks, are used to form the portfolio and get the optimal weights dynamics from 2007 to 2009. It's found that the optimal...
The paper makes analysis of the investment risks towards new power shares in Chinese stock markets based on Markowitz mean-variance model using Monte Carlo simulation for solution. Five stocks from new power fields, including wind, nuclear, solar, biomass, and hydrogen, are used to form the portfolio and get the optimal weights dynamics from 2006 to 2009. It's found that the optimal investment weights...
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