基于波动持续性的最优组合构建与分散化研究

Optimal portfolio and diversification based on persistent volatility

构建恰当资产组合来减少风险,是投资组合理论研究的重要目标.由于金融时间序列的波动往往会伴随着持续性特征,该种特性会增大组合未来收益的风险.本文通过构建随机波动模型序列持续性最优投资组合模型,以降低金融资产波动的持续性特征对组合收益波动的影响;并通过研究其分散化水平,考察该投资组合构建方法的有效性与稳健性.研究发现:与均值方差的组合模型相比较,序列持续性组合的风险分散化水平更好.此研究在资产组合选择方面,具有较为重要的理论价值及实践意义.

Building an appropriate portfolio to reduce risk is an important goal of portfolio theory.Since the volatility of financial time series tends to be persistent,this characteristic affects the risk of a portfolio’s future returns.This paper constructs an optimal portfolio model with persistent financial asset volatility to reduce the future fluctuation of portfolio returns.By studying the diversification level,the effectiveness of this way of constructing investment portfolio is investigated.Compared with the mean variance model,our optimal portfolio model of the sequence persistence is better in risk diversification.This study has more important theoretical and practical values in asset portfolio selection.