基于时变相关系数的动态投资组合策略  

The Strategy of the Dynamic Portfolio Based on the Time-varying Correlation Coefficient

作　　者：史宇峰[1] 张世英[1] 

机构地区：[1]天津大学管理学院,天津300072

出　　处：《管理科学》2008年第5期105-110,共6页Journal of Management Science

基　　金：国家自然科学基金(70471050)

摘　　要：在金融市场中个股收益率之间具有高度相关性,这种相关性的强弱程度随时间变化而改变。采用基于高频数据的已实现协方差刻画个股收益率间的相关性时变特征,真实反映投资组合中个股收益率间的相关情况,通过GARCH模型把投资组合的各期收益率的方差有效地连接起来,建立收益率方差之间的递推关系,从中分离出持续方差,构建总持续方差,进而把总持续方差作为二次规划模型的目标函数建立在控制风险扩散意义下的动态投资组合模型,求得该模型的解析解。实证结果表明,时变相关系数的引入将投资组合收益率在负半轴的波动幅度控制在较小的范围,说明基于时变相关系数建立的动态投资组合模型对控制风险的扩散具有实践意义。There is frequent relationship between the stock＇s return in the financial market and the relevant degree is changing from time to time. In the paper, the time-varying characteristic of the relationship between two single stock＇s return is portrayed by the realized covariance matrix based on high-frequency data in order to reveal the genuine relationship between the single stock＇s return in portfolio. Then, variances of the portfolio＇ return are linked by the GARCH model and the recursive relationships among the continuing variance is established, from which the persistent-variance is separated to construct the total persistent-variance. At last the dynamic portfolio model is formed as the objective function of quadratic programming model on the ground that the proliferating risk is controlled, and the analytical solution of the model is obtained. The empirical results show that the time-varying correlation coefficient makes the negative axis fluctuation of the portfolio in smaller range, and it is practically significant in controlling proliferating risk.

关 键 词：时变相关系数 已实现协方差矩阵 风险扩散控制 动态投资组合 

分 类 号：F830.59[经济管理—金融学]