Dynamic robust portfolio selection with copulas
Dynamic robust portfolio selection with copulas
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DOI：
10.1016/j.frl.2016.12.008
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发表时间：
2017-05
影响因子：
10.4
通讯作者：
Yingwei Han;Ping Li;Yong Xia
中科院分区：
文献类型：
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作者：
Yingwei Han;Ping Li;Yong Xia
本文基于Kakouris和Rustem（2014）的框架考虑了两个动态鲁棒投资组合优化模型。我们使用Copula-Gestival和DCC Copulas方法来捕捉收益率分布的动态变化。我们比较我们提出的方法与静态鲁棒和非鲁棒投资组合优化模型的基础上CSI 300的数据。实验结果表明，考虑估计模型中的不确定性时，动态WCVaR模型在样本外检验中有更好的表现。静态非稳健方法在样本内检验中产生更高的收益，因为没有空间捕捉模型的不确定性。
This paper considers two dynamic robust portfolio optimization models based on the framework of Kakouris and Rustem(2014). We use copula-GARCH and DCC copulas approaches to capture the dynamics of the distribution of the returns. We compare our proposed methods with the static robust and nonrobust portfolio optimization models based on the CSI300 data. The experimental study shows that the dynamic WCVaR models perform better in out-of-sample tests when considering the uncertainty in the estimated model. The static nonrobust method produces higher returns in the in-sample tests, since there is no room to capture model uncertainty.