基于变系数多因子半参数分布的高维动态高阶矩投资组合研究  

High Dimensional Dynamic Higher-order Portfolio Selection Based on the Varying-coefficient Multi-factor Semi-nonparametric Distribution Model

作　　者：黄光麟 鲁万波[2] HUANG Guang-lin;LU Wan-bo(School of Statistics,Southwestern University of Finance and Economics,Chengdu 611130,China;School of Management Science and Engineering,Southwestern University of Finance and Economics,Chengdu 611130,China)

机构地区：[1]西南财经大学统计学院,四川成都611130 [2]西南财经大学管理科学与工程学院,四川成都611130

出　　处：《中国管理科学》2023年第12期272-280,共9页Chinese Journal of Management Science

基　　金：国家自然科学基金资助项目(71771187,72011530149,72163029);中央高校基本科研基金资助项目(JBK190602)。

摘　　要：高维动态高阶矩投资组合的应用目前面临着“维数灾难”与“模型误设”两大难题。本文结合变系数多因子模型与时变半参数分布提出了一种基于半参数因子模型的动态协高阶矩建模方法,给出了模型设定、模型估计和模型检验方法。通过多因子模型有效缓解了动态协高阶矩估计存在的“维数灾难”问题,同时引入时变半参数结构有效解决了“模型误设”问题。实证结果表明:相较于现有的投资组合模型,基于半参数因子模型的动态高阶矩投资组合能够产生更高且更稳定的经济价值,同时更加契合金融资产收益率的时变特征,能够有效为金融市场参与者提供风险管理技术和科学决策依据。Markowitz's mean-variance portfolio model pioneered modern portfolio theory.However,due to the financial assets being non-normal and time-varying distributed,the efficiency of the mean-variance portfolios is difficult to achieve,which makes investors face serious welfare losses.High dimensional dynamic higher-order portfolio can effectively solve the existing drawbacks of the classical mean-variance portfolios;however,its application also meets several difficulties.A time-varying higher-order co-moment estimate,labeled as VC-MFTVSNP,is proposed by combining a varying-coefficient multi-factor model and a time-varying seminonparametric(TVSNP)model.The model specification,estimation,and selection approaches are given in this paper.The multi-factor model can efficiently reduce the“curse of dimensionality”problem in the timevarying higher-order co-moments estimation,and the semi-parametric structure can efficiently solve the“model misspecification”problem.Then a high-dimensional dynamic high-order moment investment analysis is given based on the component stocks of the Chinese CSI 300 index.The empirical studies show that the VC-MFTVSNP model can effectively capture the time-varying structure of higher-order co-moments of asset returns,and it is more suitable for the latent structure of asset returns.High-dimensional dynamic portfolio based on the VC-MF-TVSNP model can generate higher and more stable economic value,which is further confirmed by robust analysis.To a large extent,the VC-MF-TVSNP model solves the“curse of dimensionality”and the“model misspecification”problem efficiently,which can provide a more precise estimation of high dimensional time-varying higher-order co-moment estimation rather than the existing approaches,and give investors a better reference for asset allocation.

关 键 词：多因子模型 半参数结构 时变协高阶矩建模 动态投资组合 

分 类 号：O212[理学—概率论与数理统计]