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基于贝叶斯理论的 MCMC方法对单个基金收益率进行 GARCH 建模,以及对投资组合权重进行后验模拟.进一步结合时变Copula理论计算基金投资组合的 VaR,与基于极大似然法的结果进行比较.实证结果表明基于贝叶斯理论的时变Copula的 VaR方法,能够更有效的度量开放式基金投资组合的风险. 相似文献
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目前我国的证券投资市场还存在众多不规范的地方,加强金融市场尤其是证券交易市场的风险管理势在必行。目前在国际市场上存在着很多的风险测量的方式,其中VaR模型已成为金融市场上非常重要的测量方式。首先介绍了关于证券组合投资的基本概念及面临的主要风险,再介绍了VaR模型的主要计算方式、优缺点以及VaR模型主要的获取方法。最后重点分析了在VaR约束下使用方差-协方差法的投资组合决策。 相似文献
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目前我国的证券投资市场还存在众多不规范的地方,加强金融市场尤其是证券交易市场的风险管理势在必行。目前在国际市场上存在着很多的风险测量的方式,其中VaR模型已成为金融市场上非常重要的测量方式。首先介绍了关于证券组合投资的基本概念及面临的主要风险,再介绍了VaR模型的主要计算方式、优缺点以及VaR模型主要的获取方法。最后重点分析了在VaR约束下使用方差-协方差法的投资组合决策。 相似文献
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VaR是评估资产组合风险的有效手段之一。已有的VaR估计方法依赖于总体分布,且无法全面描述不同资产间的风险相关性,导致风险常常被低估。为此,本文采用Kernel-Copula函数,估计资产组合的VaR,提高估计结果的精度和可信度。最后,利用新方法估算沪深300和标普500构成的资产组合VaR。 相似文献
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结合Copula技术和GARCH模型,建立了投资组合的Copula-GARCH模型。由于该模型可以捕捉金融市场间的非线性相关性,因而可用于投资组合的风险分析中。利用这个模型,并结合Markowitz的投资组合选择模型,对我国的一支开放式基金——中信红利精选股票型证券投资基金投资组合的选择进行了优化,本文应用lingo 8.0,在收益率一定的情况下,得到了风险(VaR)最小的投资组合。 相似文献
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中国开放式基金投资组合风险值的实证——基于Copula-GARCH的分析 总被引:2,自引:1,他引:1
结合Copula技术和GARCH模型,建立了投资组合风险分析的Gopula-GARCH模型.由于该模型可以捕捉金融市场间的非线性相关性,因而可用于投资组合VaR的分析.利用这个模型,结合Monte Carlo,模拟技术,对我国第一支开放式基金一华安创新基金的投资组合进行了风险分析. 相似文献
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Asset managers are often given the task of restricting their activity by keeping both the value at risk (VaR) and the tracking error volatility (TEV) under control. However, these constraints may be impossible to satisfy simultaneously because VaR is independent of the benchmark portfolio. The management of these restrictions is likely to affect portfolio performance and produces a wide variety of scenarios in the risk-return space. The aim of this paper is to analyse various interactions between portfolio frontiers when risk managers impose joint restrictions upon TEV and VaR. Specifically, we provide analytical solutions for all the intersections and we propose simple numerical methods when such solutions are not available. Finally, we introduce a new portfolio frontier. 相似文献
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基于Copula-GARCH-EVT的中国开放式基金投资组合风险度量 总被引:1,自引:0,他引:1
文章结合CARCH模型和EVT理论刻画了单个金融资产收益率的波动性和尾部分布,并将Copula函数和Monte Carlo技术应用于证券投资组合的VaR计算方法.通过对光大红利基金的实证研究,得到前十大重仓中单只股票及其投资组合的风险值,结果表明,基于Copula-GARCH-EVT的VaR方法具有重要的经济应用价值. 相似文献
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The value-at-risk (VaR) is one of the most well-known downside risk measures due to its intuitive meaning and wide spectra of applications in practice. In this paper, we investigate the dynamic mean–VaR portfolio selection formulation in continuous time, while the majority of the current literature on mean–VaR portfolio selection mainly focuses on its static versions. Our contributions are twofold, in both building up a tractable formulation and deriving the corresponding optimal portfolio policy. By imposing a limit funding level on the terminal wealth, we conquer the ill-posedness exhibited in the original dynamic mean–VaR portfolio formulation. To overcome the difficulties arising from the VaR constraint and no bankruptcy constraint, we have combined the martingale approach with the quantile optimization technique in our solution framework to derive the optimal portfolio policy. In particular, we have characterized the condition for the existence of the Lagrange multiplier. When the opportunity set of the market setting is deterministic, the portfolio policy becomes analytical. Furthermore, the limit funding level not only enables us to solve the dynamic mean–VaR portfolio selection problem, but also offers a flexibility to tame the aggressiveness of the portfolio policy. 相似文献
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This paper analyses the risk‐return trade‐off in the hedge fund industry. We compare semi‐deviation, value‐at‐risk (VaR), Expected Shortfall (ES) and Tail Risk (TR) with standard deviation at the individual fund level as well as the portfolio level. Using the Fama and French (1992) methodology and the combined live and defunct hedge fund data from TASS, we find that the left‐tail risk captured by Expected Shortfall (ES) and Tail Risk (TR) explains the cross‐sectional variation in hedge fund returns very well, while the other risk measures provide statistically insignificant or marginally significant results. During the period between January 1995 and December 2004, hedge funds with high ES outperform those with low ES by an annual return difference of 7%. We provide empirical evidence on the theoretical argument by Artzner et al. (1999) that ES is superior to VaR as a downside risk measure. We also find the Cornish‐Fisher (1937) expansion is superior to the nonparametric method in estimating ES and TR. 相似文献
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Chueh-Yung Tsao 《Quantitative Finance》2013,13(8):931-945
Value-at-Risk (VaR) has become one of the standard measures for assessing risk not only in the financial industry but also for asset allocations of individual investors. The traditional mean–variance framework for portfolio selection should, however, be revised when the investor's concern is the VaR instead of the standard deviation. This is especially true when asset returns are not normal. In this paper, we incorporate VaR in portfolio selection, and we propose a mean–VaR efficient frontier. Due to the two-objective optimization problem that is associated with the mean–VaR framework, an evolutionary multi-objective approach is required to construct the mean–VaR efficient frontier. Specifically, we consider the elitist non-dominated sorting Genetic Algorithm (NSGA-II). From our empirical analysis, we conclude that the risk-averse investor might inefficiently allocate his/her wealth if his/her decision is based on the mean–variance framework. 相似文献
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Gordon Sirr John Garvey Liam Gallagher 《Journal of International Money and Finance》2011,30(8):1749-1772
The correlation between a portfolio's equity and foreign exchange components plays a role in reducing foreign exchange exposure. Investors must account for this correlation when determining the extent of foreign exchange risk in emerging market equity portfolio investments. This study employs a VaR risk factor mapping technique, under the variance–covariance VaR approach, to decompose portfolio risk in Argentina, Brazil, China, India, Mexico and Russia. For comparison purposes, the same technique is used to decompose portfolio risk in the US. The study is conducted from the perspective of a European equity investor with a portfolio of equities in each country. By employing the VaR decomposition technique, the correlation between a portfolio's equity and foreign exchange components is taken into account and portfolio foreign exchange risk is extracted from portfolio systematic risk. Our results uniquely demonstrate significant variation in foreign exchange risk in emerging markets. 相似文献
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本文以中国2016年之前上市商业银行作为中国银行业的代表,测算银行业系统性 风险VaR。整体来讲,我国银行业系统性风险较低,但VaR在2015年较高。虽如此,我国银行业资本持有量能够抵御银行体系的系统性风险。在系统性风险VaR贡献度方面,本文实证分析表明,在样本期间内,浦发银行、中国银行、农业银行、交通银行贡献度较高。银行体系系统 性风险VaR受GDP增长率和沪深300指数收益率的显著影响。 相似文献
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As the skewed return distribution is a prominent feature in nonlinear portfolio selection problems which involve derivative assets with nonlinear payoff structures, Value-at-Risk (VaR) is particularly suitable to serve as a risk measure in nonlinear portfolio selection. Unfortunately, the nonlinear portfolio selection formulation using VaR risk measure is in general a computationally intractable optimization problem. We investigate in this paper nonlinear portfolio selection models using approximate parametric Value-at-Risk. More specifically, we use first-order and second-order approximations of VaR for constructing portfolio selection models, and show that the portfolio selection models based on Delta-only, Delta–Gamma-normal and worst-case Delta–Gamma VaR approximations can be reformulated as second-order cone programs, which are polynomially solvable using interior-point methods. Our simulation and empirical results suggest that the model using Delta–Gamma-normal VaR approximation performs the best in terms of a balance between approximation accuracy and computational efficiency. 相似文献
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Ryohei Kawata 《Quantitative Finance》2013,13(6):609-619
Many empirical researches report that value-at-risk (VaR) measures understate the actual 1% quantile, while for Inui, K., Kijima, M. and Kitano, A., VaR is subject to a significant positive bias. Stat. Probab. Lett., 2005, 72, 299–311. proved that VaR measures overstate significantly when historical simulation VaR is applied to fat-tail distributions. This paper resolves the puzzle by developing a regime switching model to estimate portfolio VaR. It is shown that our model is able to correct the underestimation problem of risk. 相似文献