Title :
Dynamic Portfolio Analysis Based on Time-Varying Risk Measurement
Author :
Cui-xia, Jiang ; Shi-Ying, Zhang
Author_Institution :
Shandong Inst. of Bus. & Technol., Yantai
Abstract :
Dynamic portfolio is often utilized to disperse the time-varying risk in financial market. Under the frame of mean-variance analysis, we derive the dynamic portfolio policy. The optimal solution to dynamic portfolio are based on the time-varying risk, which is estimated by two volatility models, including multivariate GARCH model and realized covariance matrix. In empirical research, the effects of dynamic portfolio are compared with those of static portfolio, and the two volatility models are compared also. Empirical results show that dynamic portfolio is obviously superior to static portfolio, and the realized covariance matrix is appreciably superior to the multivariate GARCH model.
Keywords :
autoregressive processes; covariance matrices; investment; risk analysis; time-varying systems; covariance matrix; dynamic portfolio analysis; financial market; mean-variance analysis; multivariate GARCH model; time-varying risk measurement; volatility models; Asset management; Conference management; Covariance matrix; Engineering management; Financial management; Frequency measurement; Portfolios; Risk analysis; Risk management; Technology management; MGARCH model; dynamic portfolio; high frequency financial time series; realized volatility;
Conference_Titel :
Management Science and Engineering, 2007. ICMSE 2007. International Conference on
Conference_Location :
Harbin
Print_ISBN :
978-7-88358-080-5
Electronic_ISBN :
978-7-88358-080-5
DOI :
10.1109/ICMSE.2007.4422144
