Asset Allocation with a High Dimensional Latent Factor Stochastic Volatility Model
Asset Allocation with a High Dimensional Latent Factor Stochastic Volatility Model
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DOI：
10.2139/ssrn.334762
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发表时间：
2005-01
期刊：
影响因子：
--
通讯作者：
Yufeng Han
中科院分区：
文献类型：
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作者：
Yufeng Han
本文研究了高维情形下时变预期收益率和波动率对资产配置的影响。我们提出了一个动态因子多变量随机波动率（DFMSV）模型，该模型允许大量资产的收益率的前两个时刻随时间变化。然后，我们评估的DFMSV模型的经济意义，通过检查的平均方差投资者选择的各种动态投资组合策略在宇宙中的36只股票的表现。我们发现，DFMSV动态策略显着优于各种基准策略的样本。这种优异表现对不同的业绩指标、投资者的目标函数、时间段和资产都是稳健的。版权所有2006年，牛津大学出版社。
We investigate the implications of time-varying expected return and volatility on asset allocation in a high dimensional setting. We propose a dynamic factor multivariate stochastic volatility (DFMSV) model that allows the first two moments of returns to vary over time for a large number of assets. We then evaluate the economic significance of the DFMSV model by examining the performance of various dynamic portfolio strategies chosen by mean-variance investors in a universe of 36 stocks. We find that the DFMSV dynamic strategies significantly outperform various benchmark strategies out of sample. This outperformance is robust to different performance measures, investor's objective functions, time periods, and assets. Copyright 2006, Oxford University Press.