基于“已实现”高阶矩的动态组合投资分析  

Dynamic Portfolio Analysis based on Realized Higher Moments

作　　者：蒋翠侠[1] 张世英[2] 许启发[3] 

机构地区：[1]山东工商学院数学与信息科学学院,山东烟台264005 [2]天津大学管理学院,天津300072 [3]山东工商学院统计学院,山东烟台264005

出　　处：《山西财经大学学报》2008年第6期96-103,共8页Journal of Shanxi University of Finance and Economics

基　　金：国家自然科学基金资助项目(70471050);中国博士后科学基金项目(20060400192);全国统计科研计划项目(2006B07)

摘　　要：为度量高阶矩风险的时变特征,将高频"已实现"二阶矩扩展到"已实现"高阶矩,给出一元及多元"已实现"高阶矩的计算方法;基于效用函数的Taylor展开解决了动态资产配置问题;将"已实现"高阶矩风险测度应用于动态组合投资分析中,推导出带有高阶矩风险的动态投资组合策略,弥补了传统组合投资理论没有考虑高阶矩风险和静态处理问题两大缺陷。选取中国股市的高频金融时间序列进行实证,结果显示高阶矩风险存在波动聚集性,动态组合投资效果优于静态组合投资效果。Unitvariate and multivariate realized higher moments, which are the expansion of realized volatility, are proposed in the paper to measure the time- varying fmaneial risk. The dynamic assets allocation is settled by Taylor series expansion of utility function. The authors apply realized higher moments to portfolio analysis, and derive dynamic portfolio strategy. Our model repair two defects in traditional portfolio theory without considering higher moments risk and settle problem statically. High frequency financial time series in Chinese stock markets are selected to make empirical research. The empirical results show that higher moments risk possess volatility cluster, and dynamic portfolio is obviously superior to static portfolio.

关 键 词：动态组合投资 “已实现”高阶矩 高频金融时间序列 

分 类 号：F830[经济管理—金融学]