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| 研究生： |
陳炫羽 Chen, Hsuan Yu |
|---|---|
| 論文名稱： |
資產模型建構與其資產配置之應用 Asset Modeling with Non-Gaussian Innovation and Applications to Asset Allocation |
| 指導教授： |
黃泓智
Huang, Hong Chih |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 風險管理與保險學系 Department of Risk Management and Insurance |
| 論文出版年： | 2013 |
| 畢業學年度： | 101 |
| 語文別： | 英文 |
| 論文頁數： | 130 |
| 中文關鍵詞： | 厚尾 、偏態 、峰態 、多元仿射JD 、多元仿射VG 、多元仿射NIG 、資產配置 |
| 外文關鍵詞： | heavy-tailness, skewness, kurtosis, multivariate affine JD, multivariate affine variance gamma, multivariate affine normal inverse Gaussian, asset allocation |
| 相關次數： | 點閱：225 下載：7 |
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因為股票市場常具有厚尾、偏態和峰態的特性且在國際的股票市場之間，股票報酬長存在有尾端相依的情況，所以我們的資產模型不能選用Gaussian分配。
近幾年來，常用GH 分配建構單維度的股票報酬。這篇文章將利用多元仿射JD、多元仿射VG 和多元仿射NIG分配去建構風險性資產的報酬並請應用到資產配置。
建構風險性資產的報酬後，我們提供兩種不同形式的投資組合並且可以導出投資組合的期望值、變異數、偏態和峰態。我們嘗試以投資組合的期望值、變異數、偏態和峰態當成我們的目標函數，然後得出未來最佳的投資組合的權重。為了讓我們的資產配置更加動態和有效率，我們重新估計模型的參數、選擇最佳的投資組合權重，然後重新評估最佳的資產配置在每個決策日期。實證結果發現當股票市場的表現好的時候，我們建議資產配置應使用偏態當成我們的目標函數，但是當股票市場的表現太好的時候，我們建議資產配置應使用變異數當成我們的目標函數。
Since the stock markets always have the characteristics of heavy-tailness, skewness and kurtosis and there exists tail dependence among the international stock markets, we can’t use the Gaussian distribution as our model. Recently, the generalized hyperbolic (GH) distribution has been suggested to fit the single stock returns. This article will use the multivariate affine JD (MAJD), multivariate affine variance gamma (MAVG) and multivariate affine normal inverse Gaussian (MANIG) distributions to construct the risky asset returns, and apply them to asset allocation.
After constructing the risky asset returns, we provide two different forms of portfolio and obtain the mean, variance, skewness, kurtosis of portfolio. We can try to select the optimal weights of portfolio by using the mean, variance, skewness, kurtosis of portfolios as our objective functions. To make our asset allocation more dynamic and efficient, we re-estimate all parameters for our models, select the optimal weights of portfolio, and re-assess the optimal asset allocation at each decision date. Empirically, when the performances of stock markets are good, we suggest that our asset allocation uses the skewness as the objective function. When the performances of stock markets are not good, we suggest that our asset allocation uses the variance as the objective function.
Catalog...I
List of Table...III
List of Figure...V
l. Introduction...1
2. The JD, VG and NIG Distributions...5
2.1 Introductions of the JD, VG and NIG Distributions...5
2.1.1 Introduction of the JD Distribution...5
2.1.2 Introduction of the VG Distribution...6
2.1.3 Introduction of the NIG Distribution...7
2.2 The Standardization Approaches of the JD, VG and NIG Distributions...8
2.2.1 The Standardization Approaches of the JD Distribution...8
2.2.2 The Standardization Approaches of the VG Distribution ...9
2.2.3 The Standardization Approaches of the NIG Distribution ...9
2.2.4 Estimate the Parameters of the JD, VG and NIG Distribution...9
3. The MAJD, MAVG and MANIG Distributions...12
3.1 Introduction of the MAJD, MAVG and MANIG Distributions ...12
3.1.1 Introduction of the MAJD Distribution...12
3.1.2 Introduction of the MAVG Distribution...12
3.1.3 Introduction of the MAVG Distribution...13
3.2 Estimate the parameters of the MAJD, MAVG and MANIG Distributions...13
3.3 MAJD, MAVG and MANIG Processes for Asset Returns...14
3.4 Portfolio selection...15
4. Empirical analysis...21
4.1 The source of the data and the statistics of data...21
4.2 Estimate the parameters of the data...23
4.3 The funding value for our objective functions under MAJD, MAVG and MANIG distributions...24
4.3.1 The funding value on developed countries...24
4.3.2 The funding value on developing countries...32
4.3.3 The funding values on the assets of mixing of developed countries and developing countries...40
5. Conclusion...48
Reference...49
Appendix A...52
Appendix B...54
Appendix C...56
Appendix D...76
Appendix E...95
Appendix F...107
Appendix G...119
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