A Linearization of the Portfolio Optimization Problem with General Risk Measures Under Multivariate Conditional Heteroskedastic Models

Shih Feng Huang, Tze Yun Lin

研究成果: 雜誌貢獻期刊論文同行評審

4 引文 斯高帕斯(Scopus)

摘要

This study presents an example of the linearization of a complex mean-risk investment problem. The spectral risk measure is employed as a measure of risk and assets are assumed to have autocorrelation and conditionally heteroskedastic volatilities. Simulation results indicate that the proposed method saves a great deal of computational time. Empirical studies show that this strategy, implemented with certain trading frequency constraints, outperforms the equal-weighted portfolio, the classical mean-variance method, and the corresponding market index in Taiwan, the US, and Japan when considering transaction costs and different economic conditions.

原文???core.languages.en_GB???
頁(從 - 到)449-469
頁數21
期刊Asia-Pacific Journal of Financial Studies
47
發行號3
DOIs
出版狀態已出版 - 6月 2018

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