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中国管理科学

中国管理科学 ›› 2009, Vol. 17 ›› Issue (1): 1-6.

• 论文 •    下一篇

考虑组合动态调整效率的相关性估计模型比较

张蕊, 王春峰, 房振明, 梁崴   

  1. 天津大学管理学院天津大学金融工程研究中心, 天津 300072
  • 收稿日期:2008-04-18 修回日期:2008-12-11 出版日期:2009-02-28 发布日期:2009-02-28
  • 作者简介:张蕊(1982- ),女(汉族),天津大学管理学院博士研究生,研究方向:金融工程与金融风险管理.
  • 基金资助:

    国家自然科学基金资助项目(70771076);国家杰出青年科学基金资助项目(70225002)

Comparison of Correlation Estimation Models Considering Dynamic Portfolio Allocation Efficiency

ZHANG Rui, WANG Chun-feng, FANG Zhen-ming, LIANG Wei   

  1. School of Management, Tianjin University, Financial Engineering Research Center, Tianjin 300072, China
  • Received:2008-04-18 Revised:2008-12-11 Online:2009-02-28 Published:2009-02-28

PDF (PC)

1374

被引次数

8

摘要： 准确估计组合内资产收益相关性是构建投资组合、定价衍生品以及风险管理的关键.引入波动择时策略从组合动态调整效率角度比较两类组合相关性估计模型的应用价值,并且利用不重叠的Block Bootstrap抽样对原始数据进行模拟,以期获得更可信的实证结论.结果表明根据基于高频数据的"已实现"模型对组合进行动态调整较静态组合会获得更多收益,而根据DCC-GARCH模型调整组合反而会有损失,说明"已实现"模型比DCC-GARCH模型更具有应用价值.

关键词: 组合相关性, 波动择时, “已实现”协方差, DCC-GARCH模型

Abstract: An accurate estimation of correlation of assets in the investment portfolio is the key of building portfolio, pricing derivatives and risk management.Volatility timing is introduced and the practical applicanon of the two correlation estimation methods is comparedfrom the perspective of dynamical portfolio allocation efficiency.The original data is simulated by the Block Bootstrap method in order to get more creditable result.The result indicated that, if we adjust the portfolio according to the RV model based on the high-frequency data, we will get more return, than static portfolio.However, if we adjust the portfolio according to the DCC-GARCH model we will loss.The RV model has more practical application than the DCC-GARCH model.

Key words: portfolio correlation, volatility timing, realized covariance, DCC-GARCH model

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