Diversification benefits of risk portfolio models: a case of Taiwan’s stock market

详细信息    查看全文

• 作者：Jing-Rung Yu ; Wan-Jiun Paul Chiou…
• 关键词：Diversification benefits ; Risk modeling ; VaR ; CVaR
• 刊名：Review of Quantitative Finance and Accounting
• 出版年：2017
• 出版时间：February 2017
• 年：2017
• 卷：48
• 期：2
• 页码：467-502
• 全文大小：
• 刊物类别：Business and Economics
• 刊物主题：Corporate Finance; Accounting/Auditing; Econometrics; Operation Research/Decision Theory;
• 出版者：Springer US
• ISSN：1573-7179
• 卷排序：48

文摘

How to construct effective investment strategies is a core issue for modern finance. In this paper, we investigate the benefits of various models by rebalancing portfolios using the daily stock return data in Taiwan. We further consider investment constraints in portfolios to ensure the feasibility of their applications. Using five performance criteria, we find the risk models, particularly the CVaR, yield higher ex ante and ex post performance than a naïve buy-and-hold portfolio. The two-stage regressions show that high return benefits are associated with a bear market while high reduction in risk is positively related to high volatility. Though VaR is regarded as a standard model applied in the real world, our findings suggest that CVaR can serve as a good alternative.