Dynamic Portfolio Analysis Based on Time-Varying Risk Measurement

Author

Cui-xia, Jiang ; Shi-Ying, Zhang

Author_Institution

Shandong Inst. of Bus. & Technol., Yantai

fYear

2007

fDate

20-22 Aug. 2007

Firstpage

2065

Lastpage

2070

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;

fLanguage

English

Publisher

ieee

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

Type

conf

DOI

10.1109/ICMSE.2007.4422144

Filename

4422144