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The Merit of High-Frequency Data in Portfolio Allocation 高频数据在投资组合配置中的价值
ERN: Portfolio Optimization (Topic) Pub Date : 2011-09-12 DOI: 10.2139/ssrn.1926098
N. Hautsch, Lada M. Kyj, P. Malec
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引用次数: 34
Return Prediction and Portfolio Selection: A Distributional Approach 收益预测与投资组合选择:一种分布方法
ERN: Portfolio Optimization (Topic) Pub Date : 2011-07-01 DOI: 10.2139/ssrn.1964030
Min Zhu
{"title":"Return Prediction and Portfolio Selection: A Distributional Approach","authors":"Min Zhu","doi":"10.2139/ssrn.1964030","DOIUrl":"https://doi.org/10.2139/ssrn.1964030","url":null,"abstract":"The inquiries to return predictability are traditionally limited to the first two moments, mean and volatility. Analogously, literature on portfolio selection also stems from a moment-based analysis with up to the fourth moment being considered. This paper develops a distribution-based framework for both return prediction and portfolio selection. More specifically, a time-varying return distribution is modeled through quantile regression and copulas, using the quantile approach to extract information in marginal distributions and copulas to capture dependence structure. A nonlinear utility function is proposed for portfolio selection which utilizes the full underlying return distribution. An empirical application to US data highlights not only the predictability of the stock and bond return distributions, but also the additional information provided by the distributional approach which cannot be captured by the traditional moment-based methods.","PeriodicalId":178382,"journal":{"name":"ERN: Portfolio Optimization (Topic)","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115347748","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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