Asset Modeling with Non-Gaussian Innovation and Applications to Asset Allocation
碩士 === 國立政治大學 === 風險管理與保險研究所 === 101 === 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 hyperb...
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ndltd-TW-101NCCU52182192016-07-02T04:20:16Z http://ndltd.ncl.edu.tw/handle/46293940112911143077 Asset Modeling with Non-Gaussian Innovation and Applications to Asset Allocation 資產模型建構與其資產配置之應用 Chen, Hsuan Yu 陳炫羽 碩士 國立政治大學 風險管理與保險研究所 101 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. Huang, Hong Chih 黃泓智 學位論文 ; thesis 130 en_US |
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碩士 === 國立政治大學 === 風險管理與保險研究所 === 101 === 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.
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Huang, Hong Chih |
author_facet |
Huang, Hong Chih Chen, Hsuan Yu 陳炫羽 |
author |
Chen, Hsuan Yu 陳炫羽 |
spellingShingle |
Chen, Hsuan Yu 陳炫羽 Asset Modeling with Non-Gaussian Innovation and Applications to Asset Allocation |
author_sort |
Chen, Hsuan Yu |
title |
Asset Modeling with Non-Gaussian Innovation and Applications to Asset Allocation |
title_short |
Asset Modeling with Non-Gaussian Innovation and Applications to Asset Allocation |
title_full |
Asset Modeling with Non-Gaussian Innovation and Applications to Asset Allocation |
title_fullStr |
Asset Modeling with Non-Gaussian Innovation and Applications to Asset Allocation |
title_full_unstemmed |
Asset Modeling with Non-Gaussian Innovation and Applications to Asset Allocation |
title_sort |
asset modeling with non-gaussian innovation and applications to asset allocation |
url |
http://ndltd.ncl.edu.tw/handle/46293940112911143077 |
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