臺灣博碩士論文加值系統

由於最近的財務金融危機，不同資產間的相關性結構和風險報酬間的權衡問題被強調於投資組合管理。此篇研究，我們建構動態資產配置框架其應用蒙地卡羅方法求取動態最適權重藉由動態條件相關性copula結構以最小條件風險值策略為基礎。此外，Zakamouline和Koekebakker (2009) 提供修正偏態和峰態夏普績效指標，此指標考慮了高階動差。根據修正夏普績效指標，動態資產配置顯示動態條件相關性copula配合非高斯分配比靜態相關性copula方法好。此外，我們的動態資產配置策略顯著的減少來自於財務金融危機的影響。

Due to the recent financial crisis, the dependence structure of different assets, together with the trade-off between risks and returns, has been emphasized in the portfolio management. In this study, we construct a dynamic asset allocation framework which applies Monte Carlo method to generate the dynamic optimal weights from dynamic conditional correlation (DCC) copula structure with non-Gaussian distributions based on minimum conditional-value-risk (CVaR) strategies. In addition, Zakamouline and Koekebakker (2009) propose adjusted for skewness and kurtosis Sharpe ratio (ASKSR) performance measure which take into account higher moments. According to the ASKSR of the dynamic asset allocation, it shows the DCC copula with non-Gaussian distributions is better than that with the static copula method. In addition, our dynamic asset allocation strategy can significantly reduce the impacts of the financial crisis on the portfolio values.

摘要 i
Abstract ii
誌謝 iii
Contents iv
Tables v
Figures vi
1. Introduction 1
2. Literature Review 3
3. Methodology 6
3.1 Multivariate Gaussian Copula (Static Copula) 6
3.2 DCC copula 7
3.3 Marginal Distribution－GARCH with Non-Gaussian 7
3.3.1 GH Distribution 8
3.3.2 SGT Distribution 8
3.4 The Forecast of Conditional Volatilities and Correlations 10
4. Empirical Results 11
4.1 Data Description 11
4.2 Estimations of Marginal Distributions 12
4.3 Estimations of Copulas 15
5. Application: Dynamic Asset Allocation 17
5.1 The Minimum CVaR Strategy 17
5.2 Dynamic Asset Allocation based on Minimum CVaR Strategy 18
6. Conclusion 22
References 23

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