A copula–GARCH model for macro asset allocation of a portfolio with commodities
A copula–GARCH model for macro asset allocation of a portfolio with commodities
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DOI：
10.1007/s00181-012-0577-1
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发表时间：
2013-06
影响因子：
3.2
通讯作者：
Luca Riccetti
中科院分区：
文献类型：
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作者：
Luca Riccetti
许多作者认为，马科维茨（The Journal of Finance 7（1）：77-91，1952）提出的均值-方差准则对于资产配置来说不是最优的，因为投资者的预期效用函数可以用一个使用高阶矩的函数来更好地代表，而且因为收益是以非正态分布的方式分布的，是不对称的和/或尖峰的，所以均值-方差准则不能正确地代表具有非正态收益的预期效用。在Riccetti（《在资产配置中使用Copula：何时以及如何使用Copula模型？Lambert，萨尔布吕肯2010），应用一个Copula-Gestern模型，发现Copulas对于股票指数的选择没有用，但在宏观资产配置模型中，即对于投资组合的股票和债券组合的选择是有用的。在本文中，我应用Copula-Gestival模型的宏观资产配置的投资组合包含商品成分。我发现，Copula模型似乎是有用的，优于均值-方差的宏观资产配置也存在商品指数，即使它不是优于独立的单变量序列上的Gestival模型，可能是因为低相关性的商品指数回报率的股票，债券和汇率回报。
Many authors have suggested that the mean-variance criterion, conceived by Markowitz (The Journal of Finance 7(1):77–91, 1952), is not optimal for asset allocation, because the investor expected utility function is better proxied by a function that uses higher moments and because returns are distributed in a non-Normal way, being asymmetric and/or leptokurtic, so the mean-variance criterion cannot correctly proxy the expected utility with non-Normal returns. In Riccetti (The use of copulas in asset allocation: when and how a copula model can be useful? LAP Lambert, Saarbrücken 2010), a copula–GARCH model is applied and it is found that copulas are not useful for choosing among stock indices, but can be useful in a macro asset allocation model, that is, for choosing stock and bond composition of portfolios. In this paper I apply that copula–GARCH model for the macro asset allocation of portfolios containing a commodity component. I find that the copula model appears to be useful and better than the mean-variance one for the macro asset allocation also in presence of a commodity index, even if it is not better than GARCH models on independent univariate series, probably because of the low correlation of the commodity index returns to the stock, the bond and the exchange rate returns.