基于藤Copula分组模型的股票市场风险优化研究
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摘要
文章在充分考虑金融上市公司所属行业类型不同的基础上,扩展了二元Copula分组模型,构建了基于藤Copula分组的均值-ES模型,通过实证方法研究相依结构对中国股票市场优化风险的影响。结果表明:与藤Copula模型相比,藤Copula分组模型在样本内对应的有效前沿表现更好,改善了样本外股票市场最优组合策略的表现,并且返回检验结果也验证了该模型优化风险的准确性和有效性。
This paper extends the binary Copula grouped model on the basis of a full consideration of the different industries of the publicly listed companies,constructs the mean-ES model based on the Vine Copula grouped model and empirically studies the influence of the dependent structure on the optimization risk in China's stock market. The results show that the Vine Copula grouped model performs better in the efficient frontier compared with the Vine Copula model,and improves the out-of-sample performance of the optimal portfolio strategy. The back-testing results also verify the accuracy and effectiveness of the model in optimizing the risk.
This paper extends the binary Copula grouped model on the basis of a full consideration of the different industries of the publicly listed companies,constructs the mean-ES model based on the Vine Copula grouped model and empirically studies the influence of the dependent structure on the optimization risk in China's stock market. The results show that the Vine Copula grouped model performs better in the efficient frontier compared with the Vine Copula model,and improves the out-of-sample performance of the optimal portfolio strategy. The back-testing results also verify the accuracy and effectiveness of the model in optimizing the risk.
引文
[1]MARKOWITZ H.Portfolio selection[J].Journal of Finance,1952,7(1):77-91.
[2]SKLAR A.Functions de repartition a n dimensions et leursmarges[J].Publications de l'Institutde Statistique de L'Universite de Paris,1959,8(1):229-231.
[3]BEDFORD T,COOKE R M.Probability density decomposition for conditionally dependent random variables modeled by vines[J].Annals of Mathematics&Artificial Intelligence,2001,32(1/4):245-268.
[4]BAUMOL W J.An expected gain-confidence limit criterion for portfolio selection[J].Management Science,1963,10(1):174-182.
[5]ARTZNER P,DELBAEN F,EBER J M,et al.Coherent measures of risk[J].Mathematical Finance,1999,9(3):203-228.
[6]ROCKAFELLAR R T,URYASEV S.Conditional value-at-risk for general loss distributions[J].Journal of Banking&Finance,2002,26(7):1443-1471.
[7]BOUBAKER H,SGHAIER N.Portfolio optimization in the presence of dependent financial returns with long memory:a copula based approach[J].Journal of Banking&Finance,2013,37(2):361-377.
[8]DENG L,MA C Q,YANG W Y.Portfolio optimization via pair Copula-GARCH-EVT-CVaR model[J].Systems Engineering Procedia,2011(2):171-181.
[9]冯玲,欧华宇.存在相关性风险的资产组合策略[J].系统工程理论与实践,2012(3):630-639.
[10]HERNANDEZ J A.Are oil and gas stocks from the Australian market riskier than coal and uranium stocks?Dependence risk analysis and portfolio optimization[J].Energy Economics,2014(45):528-536.
[11]BEKIROS S,HERNANDEZ J A,HAMMOUDEH S,et al.Multivariate dependence risk and portfolio optimization:an application to mining stock portfolios[J].Resources Policy,2015,46(2):1-11.
[12]KARMAKAR M.Dependence structure and portfolio risk in Indian foreign exchange market:A GARCH-EVT-Copula approach[J].Quarterly Review of Economics&Finance,2017(64):275-291.
[13]潘志远,孙显超.Copula方法中的边缘分布设定需要计量检验吗?——基于CVaR框架的资产组合视角[J].系统科学与数学,2017(2):537-552.
[14]ZHOU Q,CHEN Z L,MING R X.Copula-based grouped risk aggregation under mixed operation[J].Applications of Mathematics,2016,61(1):103-120.
[15]LOW R K Y,ALCOCK J,FAFF R,et al.Canonical vine copulas in the context of modern portfolio management:are they worth it?[J].Journal of Banking&Finance,2013,37(8):3085-3099.
[16]刘祥东,吴宇轩,段泉杉.基于混合Copula函数的行业指数投资组合风险度量[J].金融理论与实践,2017(5):52-58.
[17]KUPIEC P H.Techniques for verifying the accuracy of risk measurement models[J].Social Science Electronic Publishing,1995,3(2):73-84.
[18]MCNEILA J,FREY R.Estimation of tail-related risk measures for heteroscedastic financial time series:an extreme value approach[J].Journal of Empirical Finance,2000,7(3):271-300.
[19]DIMANN J,BRECHMANN E C,CZADO C,et al.Selecting and estimating regular vine copulae and application to financial returns[J].Computational Statistics&Data Analysis,2013,59(1):52-69.
(1)样本金融上市公司的分类及名称见表1。
[2]SKLAR A.Functions de repartition a n dimensions et leursmarges[J].Publications de l'Institutde Statistique de L'Universite de Paris,1959,8(1):229-231.
[3]BEDFORD T,COOKE R M.Probability density decomposition for conditionally dependent random variables modeled by vines[J].Annals of Mathematics&Artificial Intelligence,2001,32(1/4):245-268.
[4]BAUMOL W J.An expected gain-confidence limit criterion for portfolio selection[J].Management Science,1963,10(1):174-182.
[5]ARTZNER P,DELBAEN F,EBER J M,et al.Coherent measures of risk[J].Mathematical Finance,1999,9(3):203-228.
[6]ROCKAFELLAR R T,URYASEV S.Conditional value-at-risk for general loss distributions[J].Journal of Banking&Finance,2002,26(7):1443-1471.
[7]BOUBAKER H,SGHAIER N.Portfolio optimization in the presence of dependent financial returns with long memory:a copula based approach[J].Journal of Banking&Finance,2013,37(2):361-377.
[8]DENG L,MA C Q,YANG W Y.Portfolio optimization via pair Copula-GARCH-EVT-CVaR model[J].Systems Engineering Procedia,2011(2):171-181.
[9]冯玲,欧华宇.存在相关性风险的资产组合策略[J].系统工程理论与实践,2012(3):630-639.
[10]HERNANDEZ J A.Are oil and gas stocks from the Australian market riskier than coal and uranium stocks?Dependence risk analysis and portfolio optimization[J].Energy Economics,2014(45):528-536.
[11]BEKIROS S,HERNANDEZ J A,HAMMOUDEH S,et al.Multivariate dependence risk and portfolio optimization:an application to mining stock portfolios[J].Resources Policy,2015,46(2):1-11.
[12]KARMAKAR M.Dependence structure and portfolio risk in Indian foreign exchange market:A GARCH-EVT-Copula approach[J].Quarterly Review of Economics&Finance,2017(64):275-291.
[13]潘志远,孙显超.Copula方法中的边缘分布设定需要计量检验吗?——基于CVaR框架的资产组合视角[J].系统科学与数学,2017(2):537-552.
[14]ZHOU Q,CHEN Z L,MING R X.Copula-based grouped risk aggregation under mixed operation[J].Applications of Mathematics,2016,61(1):103-120.
[15]LOW R K Y,ALCOCK J,FAFF R,et al.Canonical vine copulas in the context of modern portfolio management:are they worth it?[J].Journal of Banking&Finance,2013,37(8):3085-3099.
[16]刘祥东,吴宇轩,段泉杉.基于混合Copula函数的行业指数投资组合风险度量[J].金融理论与实践,2017(5):52-58.
[17]KUPIEC P H.Techniques for verifying the accuracy of risk measurement models[J].Social Science Electronic Publishing,1995,3(2):73-84.
[18]MCNEILA J,FREY R.Estimation of tail-related risk measures for heteroscedastic financial time series:an extreme value approach[J].Journal of Empirical Finance,2000,7(3):271-300.
[19]DIMANN J,BRECHMANN E C,CZADO C,et al.Selecting and estimating regular vine copulae and application to financial returns[J].Computational Statistics&Data Analysis,2013,59(1):52-69.
(1)样本金融上市公司的分类及名称见表1。