"Volatility Forecasting and asset allocation in portfolio management"

我建议的研究领域是波动率预测，考虑波动率的所有替代定义。每一项都支持不同的目标，但都同等重要。波动率是资产收益率的条件标准差，反映了时间序列的随机性，风险是金融决策的基础。因此波动预测领域吸引了众多的研究者.许多著名的金融模型都需要计算波动率。举例说明了风险价值和预期短缺模型，使用Markowitz方法和资产和衍生品定价（Black-Scholes公式）进行投资组合管理中的资产分配。然而，波动率的应用也扩展到社会科学的其他领域。波动率（和协方差）的主要特点是不可观测甚至不可预测。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在模型估计和波动率预测。模型主要分为单变量和多变量模型。在预测波动性之后，将对这些预测进行评估，以测试预测是否足够。第二部分将集中在投资组合中的资产分配问题。

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.