基于非高斯模型的投资组合选择分析

M. L. Bianchi, Stoyan Stoyanov, G. Tassinari, F. Fabozzi, S. Focardi
{"title":"基于非高斯模型的投资组合选择分析","authors":"M. L. Bianchi, Stoyan Stoyanov, G. Tassinari, F. Fabozzi, S. Focardi","doi":"10.1142/9789813276208_0010","DOIUrl":null,"url":null,"abstract":"The main topics covered in this chapter are:a description of a method to perform portfolio selection based on normal, multivariate generalized hyperbolic, and multivariate normal tempered stable distributions;a review of the main properties of the average value-at-risk measure;a review of the mean–variance and mean-risk portfolio optimization strategies;an implementation of the minimum-variance and equally weighted portfolio criteria;a review of portfolio performance measures to evaluate and backtest different portfolio strategies;an empirical test showing the portfolio selection performance on a 50-dimensional series of stock returns;an evaluation of different portfolio rebalancing frequencies.","PeriodicalId":227655,"journal":{"name":"Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management","volume":"60 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":"{\"title\":\"A Portfolio Selection Analysis with Non-Gaussian Models\",\"authors\":\"M. L. Bianchi, Stoyan Stoyanov, G. Tassinari, F. Fabozzi, S. Focardi\",\"doi\":\"10.1142/9789813276208_0010\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The main topics covered in this chapter are:a description of a method to perform portfolio selection based on normal, multivariate generalized hyperbolic, and multivariate normal tempered stable distributions;a review of the main properties of the average value-at-risk measure;a review of the mean–variance and mean-risk portfolio optimization strategies;an implementation of the minimum-variance and equally weighted portfolio criteria;a review of portfolio performance measures to evaluate and backtest different portfolio strategies;an empirical test showing the portfolio selection performance on a 50-dimensional series of stock returns;an evaluation of different portfolio rebalancing frequencies.\",\"PeriodicalId\":227655,\"journal\":{\"name\":\"Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management\",\"volume\":\"60 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"1900-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"2\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1142/9789813276208_0010\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1142/9789813276208_0010","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 2

摘要

本章涵盖的主要主题是:描述一种基于正态、多元广义双曲、回顾了平均风险值度量的主要特性;回顾了均值方差和均值风险投资组合优化策略;回顾了最小方差和等加权投资组合标准的实施;回顾了评估和回测不同投资组合策略的投资组合绩效指标;在50维股票收益系列上展示投资组合选择绩效的实证测试不同投资组合再平衡频率的评估。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
A Portfolio Selection Analysis with Non-Gaussian Models
The main topics covered in this chapter are:a description of a method to perform portfolio selection based on normal, multivariate generalized hyperbolic, and multivariate normal tempered stable distributions;a review of the main properties of the average value-at-risk measure;a review of the mean–variance and mean-risk portfolio optimization strategies;an implementation of the minimum-variance and equally weighted portfolio criteria;a review of portfolio performance measures to evaluate and backtest different portfolio strategies;an empirical test showing the portfolio selection performance on a 50-dimensional series of stock returns;an evaluation of different portfolio rebalancing frequencies.
求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
自引率
0.00%
发文量
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:604180095
Book学术官方微信