结构突变下的高维汇率资产时变投资组合预测研究

doi:10.16381/j.cnki.issn1003-207x.2020.0166

中国管理科学 ›› 2021, Vol. 29 ›› Issue (11): 13-22.doi: 10.16381/j.cnki.issn1003-207x.2020.0166

• 论文 • 上一篇

结构突变下的高维汇率资产时变投资组合预测研究

陈粘¹, 黄迅², 严晓凤^3,4

1.成都信息工程大学物流学院, 四川成都610103; 2.成都大学商学院, 四川成都610106;3.成都理工大学管理科学学院, 四川成都610059; 4.西华师范大学, 四川南充637002

收稿日期:2020-02-06 修回日期:2020-04-24 发布日期:2021-11-22
通讯作者: 严晓凤(1982—)，女(汉族)，四川南充人，成都理工大学管理科学学院，博士研究生，研究方向：金融风险管理，Email：xiaofeng2425@126.com. E-mail:xiaofeng2425@126.com
基金资助:
国家自然科学基金资助项目(71771032)；成都哲学社会科学规划资助项目(2021BS028)；四川矿产资源研究中心资助项目(SCKCZY2021-YB005)

Dynamic Portfolio Forecasting of High-dimensions Exchange Rate Assets Under Structure Break

CHEN Zhan¹, HUANG Xun², YAN Xiao-feng^3,4

1.School of Logistics, Chengdu University of Information Technology, Chengdu 610103, China;2. Business School, Chengdu University, Chengdu 610106, China;3. College of Management Science, Chengdu University of Technology, Chengdu 610059, China;4. China West Normal University, Nanchong 637002, China

Received:2020-02-06 Revised:2020-04-24 Published:2021-11-22
Contact: 严晓凤 E-mail:xiaofeng2425@126.com

摘要/Abstract

摘要： 金融市场存在结构突变现象是发生金融风险传染的关键所在，而风险传染又是投资组合研究中亟需解决的难点。本文以9种国际主要货币对美元汇率为研究对象，先构建隐马尔科夫模型来对汇率资产进行结构突变预测，并基于结构突变刻画的结果，构建动态R-Vine Copula模型来预测汇率资产的风险传染关系；最后，基于结构突变与风险传染的研究结果，筛选出适合的组合汇率资产，构建时变投资组合预测模型。实证结果表明：HMM模型能够有效地刻画出汇率资产中的结构突变；动态R-Vine Copula模型能够更加有效地刻画出汇率资产间的风险传染关系；基于结构突变与风险传染关系下的动态投资组合预测模型，具有降低投资组合风险与提升投资组合预测收益的优越性，能够为金融风险管理和投资组合研究提供模型参考。

关键词: 结构突变；风险传染；高维汇率资产；时变投资组合预测

Abstract: In recent years, there are some complex typical characteristics of financial market, such as structural break and risk contagion. These characteristics may bring great challenges to risk management and investment portfolio, and structural break in financial market is the key to financial risk contagion, whereas risk contagion is a tough problem that should be solved urgently in the research of investment portfolio. In this paper, the exchange rate of 9 major international currencies against the US dollar is taken as the research object. Firstly, Hidden Markov Model (HMM) is constructed to predict the structure break of exchange rate assets according to the characteristics of structural break that may occur in the exchange rate market, and then dynamic R-Vine Copula model is constructed to predict the risk contagion relationship of exchange rate assets, combined with the the risk contagion relationship that may be induced by structural break between exchange rate assets. Finally, based on the research results of structure break and risk contagion, portfolio exchange rate assets screened out, and a time-varying portfolio forecasting model constructed. The empirical results showed that: HMM model can effectively depict the structure break in exchange rate assets; dynamic R-Vine Copula model can more effectively depict the risk contagion relationship between exchange rate assets; dynamic portfolio forecasting model based on the relationship between structure break and risk contagion has the advantages of reducing portfolio risk and improving portfolio forecasting return.Therefore, an operable research scheme is provided for structure break and risk contagion in financial market, risk supervision departments and institutional investors.

Key words: structure break; risk contagion; high-dimensions exchange rate assets; dynamic portfolio forecasting

中图分类号:

F830.59

陈粘, 黄迅, 严晓凤. 结构突变下的高维汇率资产时变投资组合预测研究[J]. 中国管理科学, 2021, 29(11): 13-22.

CHEN Zhan, HUANG Xun, YAN Xiao-feng. Dynamic Portfolio Forecasting of High-dimensions Exchange Rate Assets Under Structure Break[J]. Chinese Journal of Management Science, 2021, 29(11): 13-22.

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结构突变下的高维汇率资产时变投资组合预测研究

Dynamic Portfolio Forecasting of High-dimensions Exchange Rate Assets Under Structure Break

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