Markowitz Portfolio theory under-estimates the risk associated with the return of a portfolio in case of high dimensional data. El Karoui mathematically proved this in [1] and suggested improved estimators for unbiase...Markowitz Portfolio theory under-estimates the risk associated with the return of a portfolio in case of high dimensional data. El Karoui mathematically proved this in [1] and suggested improved estimators for unbiased estimation of this risk under specific model assumptions. Norm constrained portfolios have recently been studied to keep the effective dimension low. In this paper we consider three sets of high dimensional data, the stock market prices for three countries, namely US, UK and India. We compare the Markowitz efficient frontier to those obtained by unbiasedness corrections and imposing norm-constraints in these real data scenarios. We also study the out-of-sample performance of the different procedures. We find that the 2-norm constrained portfolio has best overall performance.展开更多
The previous studies have shown that capital market integration has increased in the ASEAN-5,implying that investors making investment diversification across ASEAN capital markets could only earn limited diversificati...The previous studies have shown that capital market integration has increased in the ASEAN-5,implying that investors making investment diversification across ASEAN capital markets could only earn limited diversification advantages.To diversify their portfolios,equity investors must find other assets.The main focus of this research is to analyze the effectiveness of put replication,gold,and oil on hedge equities in the ASEAN-5(Indonesia,Malaysia,Singapore,Thailand,and the Philippines).Protective put strategy,DCC-GARCH,and Markowitz optimization are used to measure hedge effectiveness,risk-adjusted-performance such as Sharpe ratio,drawdown,and Omega ratio.The result reveals that gold is a cheaper hedge than oil and oil-hedged strategy is more expensive in ASEAN-5 compared to oil exporting nations.Also,investors with big exposure to the oil-related portfolio should diversify to Philippine equity.From hedging effectiveness and risk-adjusted-performance perspectives,oil is less attractive than money market instruments and gold.This study also implies that risk-averse investors should prefer to put replication or guaranteed financial products compared to commodities-hedged strategy.展开更多
文摘Markowitz Portfolio theory under-estimates the risk associated with the return of a portfolio in case of high dimensional data. El Karoui mathematically proved this in [1] and suggested improved estimators for unbiased estimation of this risk under specific model assumptions. Norm constrained portfolios have recently been studied to keep the effective dimension low. In this paper we consider three sets of high dimensional data, the stock market prices for three countries, namely US, UK and India. We compare the Markowitz efficient frontier to those obtained by unbiasedness corrections and imposing norm-constraints in these real data scenarios. We also study the out-of-sample performance of the different procedures. We find that the 2-norm constrained portfolio has best overall performance.
文摘The previous studies have shown that capital market integration has increased in the ASEAN-5,implying that investors making investment diversification across ASEAN capital markets could only earn limited diversification advantages.To diversify their portfolios,equity investors must find other assets.The main focus of this research is to analyze the effectiveness of put replication,gold,and oil on hedge equities in the ASEAN-5(Indonesia,Malaysia,Singapore,Thailand,and the Philippines).Protective put strategy,DCC-GARCH,and Markowitz optimization are used to measure hedge effectiveness,risk-adjusted-performance such as Sharpe ratio,drawdown,and Omega ratio.The result reveals that gold is a cheaper hedge than oil and oil-hedged strategy is more expensive in ASEAN-5 compared to oil exporting nations.Also,investors with big exposure to the oil-related portfolio should diversify to Philippine equity.From hedging effectiveness and risk-adjusted-performance perspectives,oil is less attractive than money market instruments and gold.This study also implies that risk-averse investors should prefer to put replication or guaranteed financial products compared to commodities-hedged strategy.
