基于波动持续性的最优组合构建与分散化研究
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摘要
构建恰当资产组合来减少风险,是投资组合理论研究的重要目标.由于金融时间序列的波动往往会伴随着持续性特征,该种特性会增大组合未来收益的风险.本文通过构建随机波动模型序列持续性最优投资组合模型,以降低金融资产波动的持续性特征对组合收益波动的影响;并通过研究其分散化水平,考察该投资组合构建方法的有效性与稳健性.研究发现:与均值方差的组合模型相比较,序列持续性组合的风险分散化水平更好.此研究在资产组合选择方面,具有较为重要的理论价值及实践意义.
Building an appropriate portfolio to reduce risk is an important goal of portfolio theory.Since the volatility of financial time series tends to be persistent,this characteristic affects the risk of a portfolio's future returns.This paper constructs an optimal portfolio model with persistent financial asset volatility to reduce the future fluctuation of portfolio returns.By studying the diversification level,the effectiveness of this way of constructing investment portfolio is investigated.Compared with the mean variance model,our optimal portfolio model of the sequence persistence is better in risk diversification.This study has more important theoretical and practical values in asset portfolio selection.
Building an appropriate portfolio to reduce risk is an important goal of portfolio theory.Since the volatility of financial time series tends to be persistent,this characteristic affects the risk of a portfolio's future returns.This paper constructs an optimal portfolio model with persistent financial asset volatility to reduce the future fluctuation of portfolio returns.By studying the diversification level,the effectiveness of this way of constructing investment portfolio is investigated.Compared with the mean variance model,our optimal portfolio model of the sequence persistence is better in risk diversification.This study has more important theoretical and practical values in asset portfolio selection.
引文
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[2]黄金波,李仲飞,姚海洋.基于CVaR两步核估计量的投资组合管理[J].管理科学学报,2016,19(5):114-126.Huang Jinbo,Li Zhongfei,Yao Haiyang.Investment portfolio management based on the two-step kernel estimator of CVaR[J].Journal of Management Sciences in China,2016,19(5):114-126.(in Chinese)
[3]曾燕,黄金波.基于均值-AS模型的资产配置[J].管理科学学报,2016,19(2):95-108.Zeng Yan,Huang Jinbo.Asset allocation based on mean-AS model[J].Journal of Management Sciences in China,2016,19(2):95-108.(in Chinese)
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[13]余素红,张世英.SV和GARCH模型拟合优度比较的似然比检验[J].系统工程学报,2004,19(6):625-629.Yu Suhong,Zhang Shiying.Comparative research of goodness of fit between SV and GARCH models by likelihood ratio test[J].Journal of Systems Engineering,2004,19(6):625-629.(in Chinese)
[14]Jacquier E.Bayesian analysis of stochastic volatility models[J].Journal of Business&Economic Statistics,1994,20(1):69-87.
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[24]Koutmos D.Time-varying beta risk,volatility persistence and the asymmetric impact of news:evidence from industry portfolios[J].Global Business&Economics Review,2011,13(13):42-56.
[25]刘海飞,朱洪亮,吴承尧.协同持续下资产组合最优决策理论与实证研究[J].管理科学学报,2010,13(9):37-46.Liu Haifei,Zhu Hongliang,Wu Chengyao.Theoretical and empirical research on optimization of portfolio decision-making with co-persistence[J].Journal of Management Sciences in China,2010,13(9):37-46.(in Chinese)
[26]Clements A,Hum S,White S.Estimating stochastic volatility models using a discrete non-linear filter[R].Queensland University of Technology,2006,Available at.
[27]Paolo Tasca,Stefano Battiston,Andrea Deghi.Portfolio diversification and systemic risk in interbank networks[J].Journal of Economic Dynamics and Control,2017,82:96-124.
[28]Mohammad Tariqul Islam Khan,Siow-Hooi Tan,Lee-Lee Chong,Hway-Boon Ong.Investment characteristics,stock characteristics and portfolio diversification of finance professionals[J].Borsa Istanbul Review,2017,17(3):164-177.
[29]Maela Giofré.Financial education,investor protection and international portfolio diversification[J].Journal of International Money and Finance,2017,71:111-139.
[30]Evans J F,Arch S H.Diversification and the reduction of dispersion:an empirical analysis[J].Journal of Finance,1968,23(5):761-767.
[31]Statman M.How many stocks make a diversified portfolio?[J].Journal of Financial and Quantitative Analysis,1987,22(3):353-363.
[32]Statman M.How much diversification is enough?[R].Santa Clara University,2002,Available at.
[33]吴世农,韦绍永.上海股市投资组合规模和风险关系的实证研究[J].经济研究,1998,4:21-27.Wu Shinong,Wei Shaoyong.An empirical study on the relationship between portfolio size and risk in Shanghai stock market[J].Economic Research Journal,1998,4:21-27.(in Chinese)
[34]陈健,胡文伟,李湛.不同策略条件下的投资组合平均风险比较与分散[J].上海交通大学学报,2011,45(12):1824-1835.Chen Jian,Hu Wenwei,Li Zhan.A comparative research of average risk of portfolio on different strategies and risk diversification[J].Journal of Shanghai Jiaotong University,2011,45(12):1824-1835.(in Chinese)
[35]Meucci A.Managing diversification[J].Risk,2009,22(5):74-79.
[2]黄金波,李仲飞,姚海洋.基于CVaR两步核估计量的投资组合管理[J].管理科学学报,2016,19(5):114-126.Huang Jinbo,Li Zhongfei,Yao Haiyang.Investment portfolio management based on the two-step kernel estimator of CVaR[J].Journal of Management Sciences in China,2016,19(5):114-126.(in Chinese)
[3]曾燕,黄金波.基于均值-AS模型的资产配置[J].管理科学学报,2016,19(2):95-108.Zeng Yan,Huang Jinbo.Asset allocation based on mean-AS model[J].Journal of Management Sciences in China,2016,19(2):95-108.(in Chinese)
[4]Engle R F.Autoregressive conditional heteroskedasticity with estimates of the variance of U.K.inflation[J].Econometrica,1982,50(4):987-1008.
[5]Bollerslev T.Generalized autoregressive conditional heteroskedasticity[J].Journal of Econometrics,1986,31(3):307-327.
[6]Bentarzi M,Hamdi F.Mixture periodic autoregressive conditional heteroskedastic models[J].Computational Statistics&Data Analysis,2008,53(1):1-16.
[7]Bollerslev T,Engle R F.Common persistence in conditional variance[J].Econometrica,1993,61(1):167-186.
[8]Bentes S R.Forecasting volatility in gold returns under the GARCH,IGARCH and FIGARCH frameworks:New evidence[J].Physica A Statistical Mechanics&Its Applications,2015,438:355-364.
[9]Clark P K.A subordinated stochastic process model with finite variance for speculative prices[J].Econometrica,1973,41(1):135-155.
[10]Gonzalo Cortazar,Matias Lopez,Lorenzo Naranjo.A multifactor stochastic volatility model of commodity prices[J].Energy Economics,2017,67:182-201.
[11]Shirota S,Omori Y,Lopes H F,et al.Cholesky realized stochastic volatility model[J].Econometrics&Statistics,2017,3:34-59.
[12]Franses P H,Van Der Leij M,Paap R.A simple test for GARCH against a stochastic volatility model[J].Journal of Financial Econometrics,2008,6(3):291-306.
[13]余素红,张世英.SV和GARCH模型拟合优度比较的似然比检验[J].系统工程学报,2004,19(6):625-629.Yu Suhong,Zhang Shiying.Comparative research of goodness of fit between SV and GARCH models by likelihood ratio test[J].Journal of Systems Engineering,2004,19(6):625-629.(in Chinese)
[14]Jacquier E.Bayesian analysis of stochastic volatility models[J].Journal of Business&Economic Statistics,1994,20(1):69-87.
[15]程细玉,张世英.向量分整序列的非线性协整研究[J].系统工程理论方法应用,2001,10(1):85-87.Cheng Xiyu,Zhang Shiying.Research on the nonlinear cointegration for vector fractional integration series[J].Systems Engineering:Theory Methodology Applications,2001,10(1):85-87.(in Chinese)
[16]Engle R F,Bollerslev T.Modeling the persistence of conditional variances[J].Econometrica Reviews,1986,5(5):1-50.
[17]Engle R F,Granger C W,Kraft D.Combining competing forecasting of inflation using a bivariate ARCH model[J].Journal of Economic Dynamic and Control,1984,8(2):151-165.
[18]Duan J C.Augmented GARCH(p,q)process and its diffusion limit[J].Journal of Econometrics,1997,79(1):97-127.
[19]Basrak B,Davis R A,Mikosch T.Regular variation of GARCH processes[J].Stochastic Processes and Applications,2002,99(1):95-115.
[20]Baillie R T,Bollerslev B,Mikkelsen H O.Fractionally integrated generalized autoregressive conditional heteroskedasticity[J].Journal of Econometrics,1996,95(74):3-30.
[21]Breidt F J,Crato N,Lima P D.The detection and estimation of long memory in stochastic volatility[J].Journal of Econometrics,1998,83(1-2):325-348.
[22]Ding Z,Granger C W J.Modeling volatility persistence of speculative returns:A new approach[J].Journal of Econometrics,1996,73(1):185-215.
[23]李汉东,张世英.存在方差持续性的资本资产定价模型分析[J].管理科学学报,2003,6(1):75-80.Li Handong,Zhang Shiying.Analysis of capital asset pricing model with persistence in variance[J].Journal of Management Sciences in China,2003,6(1):75-80.(in Chinese)
[24]Koutmos D.Time-varying beta risk,volatility persistence and the asymmetric impact of news:evidence from industry portfolios[J].Global Business&Economics Review,2011,13(13):42-56.
[25]刘海飞,朱洪亮,吴承尧.协同持续下资产组合最优决策理论与实证研究[J].管理科学学报,2010,13(9):37-46.Liu Haifei,Zhu Hongliang,Wu Chengyao.Theoretical and empirical research on optimization of portfolio decision-making with co-persistence[J].Journal of Management Sciences in China,2010,13(9):37-46.(in Chinese)
[26]Clements A,Hum S,White S.Estimating stochastic volatility models using a discrete non-linear filter[R].Queensland University of Technology,2006,Available at
[27]Paolo Tasca,Stefano Battiston,Andrea Deghi.Portfolio diversification and systemic risk in interbank networks[J].Journal of Economic Dynamics and Control,2017,82:96-124.
[28]Mohammad Tariqul Islam Khan,Siow-Hooi Tan,Lee-Lee Chong,Hway-Boon Ong.Investment characteristics,stock characteristics and portfolio diversification of finance professionals[J].Borsa Istanbul Review,2017,17(3):164-177.
[29]Maela Giofré.Financial education,investor protection and international portfolio diversification[J].Journal of International Money and Finance,2017,71:111-139.
[30]Evans J F,Arch S H.Diversification and the reduction of dispersion:an empirical analysis[J].Journal of Finance,1968,23(5):761-767.
[31]Statman M.How many stocks make a diversified portfolio?[J].Journal of Financial and Quantitative Analysis,1987,22(3):353-363.
[32]Statman M.How much diversification is enough?[R].Santa Clara University,2002,Available at
[33]吴世农,韦绍永.上海股市投资组合规模和风险关系的实证研究[J].经济研究,1998,4:21-27.Wu Shinong,Wei Shaoyong.An empirical study on the relationship between portfolio size and risk in Shanghai stock market[J].Economic Research Journal,1998,4:21-27.(in Chinese)
[34]陈健,胡文伟,李湛.不同策略条件下的投资组合平均风险比较与分散[J].上海交通大学学报,2011,45(12):1824-1835.Chen Jian,Hu Wenwei,Li Zhan.A comparative research of average risk of portfolio on different strategies and risk diversification[J].Journal of Shanghai Jiaotong University,2011,45(12):1824-1835.(in Chinese)
[35]Meucci A.Managing diversification[J].Risk,2009,22(5):74-79.