国际多元化下投资组合优化研究:动态Copula方法

Research on Portfolio Optimization under International Diversification:Dynamic Copula

国际多元化需要对投资组合的相关结构进行动态性测度,这样才能提供更有效的资产配置策略和资金的理想避险场所。当前资产组合相关结构的Copula分析中考虑变结构和时变性不足,在此基础上构建了包含变结构和时变的诊断方法——分布函数距离法和Vuong-Clarke法在内的Copula动态性诊断方法,同时将二维诊断问题推广至多维情形,接着利用模拟仿真验证了上述方法的有效性。最后将动态Copula应用于金砖国家和西方成熟市场的最优投资组合中,利用标准差、CVaR和DVaR并结合样本预测外推法对最优投资组合进行了评价分析。实证结果表明,最优投资组合策略受Copula动态性影响明显,金砖国家市场在国际金融危机影响下能发挥良好的风险规避作用,实时的动态性诊断方法也能帮助投资者更快速地调整投资策略。

Dynamic measure is necessary when portfolio optimization under international diversification studied, which can provide more effective asset allocation strategy and capital hedge places. The Copula＇s properties of variable structure and time-varying structure is the lack of consideration when the portfolio＇s dependence structure studied. On this basis, diagnostic method of Copula＇s dynamics is proposed, which can distinguish variable structure with time-varying structure. This method can extend two-dimensional portfolio to the multidimensional case, which is verified by simulation. Finally, the optimal portfolio is applied using dynamic Copula between BRIC countries and the western mature market.The above optimal portfolio are evaluated on the use of standard deviation, CVaR and DVaR combined with sample extrapolation to forecast. The empirical results show that the optimal investment portfolio strategy is significant affected by Copula＇s dynamics, BRIC countries can play a good role of risk aversion on the influence of the international financial crisis, investors can more quickly adjust the investment strategy by the above dynamic real-time diagnosis method.