含高阶矩风险测度与Gram-Charlier收益的修正方差

IF 1 4区经济学 Q4 BUSINESS

Engineering Economist Pub Date : 2022-07-03 DOI:10.1080/0013791X.2022.2078023

Bernardo León-Camacho, Andrés Mora-Valencia, Javier Perote

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引用次数: 0

摘要

摘要本文引入了一种新的投资组合风险度量，并利用泰勒展开式将其与行为方差和修正方差两个相关度量进行了性能比较。我们建议的方法通过假设Gram-Charlier收益分布，自然地结合了投资者对与偏度和峰度相关的风险的态度。所获得的风险度量代表了对投资组合风险的更可靠的描述，并且包含了高阶矩不是相关特征(即在正态性下)的情况。结果表明，在考虑最小方差和夏普比率标准的不同风险承受能力参数下，采用随机组合优化技术对11组股票进行了优化。

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Modified variance incorporating high-order moments in risk measure with Gram-Charlier returns

Abstract This paper introduces a new risk measure for portfolio choice and compares its performance with two related metrics, namely the behavioral variance and the modified variance by using a Taylor’s expansion. The methodology for our proposal naturally incorporates investor attitudes to risk related to skewness and kurtosis by assuming a Gram-Charlier return distribution. The so-obtained risk measures represent a more reliable description of portfolio risk and encompass the cases where high-order moments are not relevant characteristics (i.e. under normality). Our results show the outperformance of our proposal for different risk tolerance parameters considering the minimum variance and Sharpe ratio criteria by employing random portfolio optimization technique for 11 sets of stocks.

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来源期刊

Engineering Economist ENGINEERING, INDUSTRIAL-OPERATIONS RESEARCH & MANAGEMENT SCIENCE

CiteScore

2.00

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： The Engineering Economist is a refereed journal published jointly by the Engineering Economy Division of the American Society of Engineering Education (ASEE) and the Institute of Industrial and Systems Engineers (IISE). The journal publishes articles, case studies, surveys, and book and software reviews that represent original research, current practice, and teaching involving problems of capital investment. The journal seeks submissions in a number of areas, including, but not limited to: capital investment analysis, financial risk management, cost estimation and accounting, cost of capital, design economics, economic decision analysis, engineering economy education, research and development, and the analysis of public policy when it is relevant to the economic investment decisions made by engineers and technology managers.