摘要
经典金融理论的资产配置策略没有考虑相关性风险,而现实中,各种市场和各种资产之间的相关性是变化的,从而使投资组合风险上升.与传统金融理论基于完全市场条件下的组合选择不同,通过SJC-Copula刻画金融市场间不对称的尾部相关性,用CVaR方法求出存在相关性风险的资产组合有效前沿及策略.通过沪港市场的实证研究,发现忽略上下尾相关性均会影响投资组合风险的估计,会使投资组合遭受极端的负收益;量化并有效地控制不对称的尾部相关性能够改善资产组合的表现.
The asset allocation strategies don＇t take into account correlation risks in classical finance theories, but the correlation of markets and assets change all the time in nature, which raise the risks of portfolio. Unlike portfolio choice of traditional finance theories keeping a complete market setup, we reproduce the asymmetric tail dependence of capital market with symmetric Joe-Clayton Copula and solve the portfolio efficient frontiers and strategies when correlation risks exist with CVaR technique. Through the empirical study in Shanghai and Hong Kong market, we discover that ignoring upper tail or lower tail dependence will affect investors to estimate the risks of portfolio, and will make the portfolio suffer extreme negative returns; quantify and control the tail dependence will improve the performance of portfolio.
出处
《系统工程理论与实践》
EI
CSSCI
CSCD
北大核心
2012年第3期630-639,共10页
Systems Engineering-Theory & Practice
基金
国家自然科学基金(71073023)
福建省社科规划重大项目(2011Z010)
