"Volatility Forecasting and asset allocation in portfolio management"

“投资组合管理中的波动性预测和资产配置”

• 批准号: 1938235
• 金额: --
• 依托单位: University of Kent
• 依托单位国家: 英国
• 项目类别: Studentship
• 财政年份: 2017
• 资助国家: 英国
• 起止时间: 2017 至 无数据
• 项目状态: 已结题
• 来源: https://gtr.ukri.org/projects?ref=studentship-1938235
• 关键词: Volatility; Forecasting; asset; allocation; portfolio

My proposal area of study is Volatility Forecasting considering all the alternativedefinitions of volatility. Each supports a different objective and all are equallysignificant. Volatility is the conditional standard deviation of the asset returns andsuggests the random factor of the time series.Risk is fundamental on financial decision making process. Thus volatility forecastingarea has attracted many researchers. Many famous financial models requirecalculating the volatility. Illustrations are the Value-at Risk and Expected Shortfallmodels, asset allocation in portfolio management using the Markowitz method andasset and derivative pricing (Black-Scholes formula). However, volatility's utilizationspreads to other areas of social sciences as well.The main characteristic of volatility (and covariance) is that is unobservable even expost.Thus, producing accurate out-of-sample forecasts is vital.The first part of the study will focus on model estimation and volatility forecasting.The models are mainly classified into univariate and multivariate ones. Followingforecasting volatility, evaluation of those forecasts will be performed to test whetherthe forecasts are adequate enough. The second part will focus on asset allocationissues within a portfolio.

我建议的研究领域是波动性预测，考虑波动性的所有替代定义。每一个都支持不同的目标，而且都同样重要。波动率是资产收益的条件标准差，表示时间序列的随机因子。风险是财务决策过程的基础。因此波动率预测领域吸引了众多研究者。许多著名的金融模型都需要计算波动性。例子包括风险价值和预期不足模型，使用马科维茨方法的投资组合管理中的资产配置，以及资产和衍生品定价（布莱克-斯科尔斯公式）。然而，波动性的应用也扩展到了社会科学的其他领域。波动性（和协方差）的主要特征是即使在暴露后也是不可观察的。因此，产生准确的样本外预测是至关重要的。研究的第一部分将集中于模型估计和波动率预测。模型主要分为单变量模型和多变量模型。在预测波动之后，将对这些预测进行评估，以测试预测是否足够充分。第二部分将关注投资组合中的资产配置问题。