Diversification benefits of risk portfolio models: a case of Taiwan’s stock market
Diversification benefits of risk portfolio models: a case of Taiwan’s stock market
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DOI：
10.1007/s11156-016-0558-0
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发表时间：
2017-02
影响因子：
1.7
通讯作者：
Jing-Rung Yu;W. P. Chiou;Jian-Hong Yang
中科院分区：
文献类型：
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作者：
Jing-Rung Yu;W. P. Chiou;Jian-Hong Yang
如何构建有效的投资策略是现代金融的核心问题。本文以台湾地区的股票日收益数据为研究对象，以再平衡投资组合为例，探讨各种模型的效益。我们进一步考虑投资组合中的投资约束，以确保其应用的可行性。使用五个绩效标准，我们发现风险模型，特别是CVaR，比naïve买入并持有的投资组合收益率更高。两阶段回归表明，高回报收益与熊市相关，而风险的高降低与高波动性呈正相关。虽然VaR被认为是应用于现实世界的标准模型，但我们的研究结果表明CVaR可以作为一个很好的替代方案。
How to construct effective investment strategies is a core issue for modern finance. In this paper, we investigate the benefits of various models by rebalancing portfolios using the daily stock return data in Taiwan. We further consider investment constraints in portfolios to ensure the feasibility of their applications. Using five performance criteria, we find the risk models, particularly the CVaR, yield higherex anteandex postperformance than a naïve buy-and-hold portfolio. The two-stage regressions show that high return benefits are associated with a bear market while high reduction in risk is positively related to high volatility. Though VaR is regarded as a standard model applied in the real world, our findings suggest that CVaR can serve as a good alternative.