Dynamic portfolio analysis based on time-varying risk measurement

被引：0
|
作者：
Jiang Cui-xia [1 ]
Zhang Shi-ying [2 ]
机构：
[1] Shandong Inst Business & Technol, Sch Math & Informat Sci, Yantai 264005, Shandong, Peoples R China
[2] Tianjin Univ, Sch Management, Tianjin 300072, Peoples R China
来源：
PROCEEDINGS OF 2007 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE & ENGINEERING (14TH) VOLS 1-3 | 2007年
基金：
中国国家自然科学基金;
关键词：
dynamic portfolio; MGARCH model; realized volatility; high frequency financial time series;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Dynamic portfolio is often utilized to disperse the time-varying risk in financial market. Under the frame of mean-variance analysis, we derive the dynamic portfolio policy. The optimal solution to dynamic portfolio are based on the time-varying risk, which is estimated by two volatility models, including multivariate GARCH model and realized covariance matrix. In empirical research, the effects of dynamic portfolio are compared with those of static portfolio, and the two volatility models are compared also. Empirical results show that dynamic portfolio is obviously superior to static portfolio, and the realized covariance matrix is appreciably superior to the multivariate GARCH model. http://ieeexplore.ieee.org/stamp/stamp.jsp?tp=&arnumber=4422144
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页码：2065 / +
页数：2
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