Statistical Analysis of Portfolio Characteristics for Different Risk Measures

不同风险指标的投资组合特征统计分析

• 批准号: 168804898
• 负责人: Professor Dr. Wolfgang Schmid
• 金额: --
• 依托单位: Institut für Mathematik
• 依托单位国家: 德国
• 项目类别: Research Grants
• 财政年份: 2010
• 资助国家: 德国
• 起止时间: 2009-12-31 至 2013-12-31
• 项目状态: 已结题
• 来源: https://gepris.dfg.de/gepris/projekt/168804898?language=en
• 关键词: Statistical; Analysis; Portfolio; Characteristics; Different

In the pioneering work of Markowitz (1952) an optimal portfolio is obtained by minimizing the portfolio variance for a given value of the portfolio return. Although in the meantime many other approaches for constructing an optimal portfolio have been introduced, the meanvariance analysis of Markowitz (1952) is still the most popular method in practice. For a long time one of the crucial assumptions for the derivation of the optimal portfolio weights was that the parameters of the underlying return process are known. It was recommended to estimate these quantities by historical data. Recently several authors started to analyze this problem from a statistical point of view. Various estimators and tests of optimal portfolio weights and portfolio characteristics have been proposed and compared with each other (e.g., Okhrin and Schmid (2006), Bodnar and Schmid (2008a/b, 2009)). In these papers the variance is chosen as a risk measure of the portfolio. In the last years, however, it has been shown in several papers that the variance is not a good risk measure and other measures should be favored (e.g., Artzner et al. (1999)). The aim of this project is to consider the portfolio selection problem by using more suitable risk measures. Estimators and tests for the corresponding optimal portfolio weights and portfolio characteristics will be derived.

在Markowitz（1952）的开创性工作中，最优投资组合是通过最小化投资组合方差来获得的。虽然在此期间，许多其他的方法来构建一个最优的投资组合已被引入，平均方差分析的Markowitz（1952）仍然是最流行的方法在实践中。长期以来，推导最优投资组合权重的关键假设之一是，基础收益过程的参数是已知的。建议根据历史数据估计这些数量。最近，一些作者开始从统计学的角度来分析这个问题。已经提出了最优投资组合权重和投资组合特征的各种估计和测试，并且相互比较（例如，Okhrin和Schmid（2006），Bodnar和Schmid（2008 a/B，2009））。在这些论文中，方差被选为投资组合的风险度量。然而，在过去的几年里，已经有几篇论文表明方差不是一个好的风险度量，应该倾向于其他度量（例如，Artzner等人（1999））。本研究的目的是利用更合适的风险度量来考虑投资组合选择问题。相应的最优投资组合权重和投资组合特征的估计和测试将被导出。