Minimum Variance Portfolio Selection for Large Number of Stocks - Application of Time-Varying Covariance Matrices

• Autorzy: Piotr Fiszeder

Warianty tytułu

Konstrukcja portfeli o minimalnej wariancji dla dużej liczby spółek - zastosowanie zmiennych w czasie macierzy kowariancji

• Języki publikacji: EN

Abstrakty

EN

An evaluation of the efficiency of different methods of the minimum variance portfolio selection was performed for seventy stocks from the Warsaw Stock Exchange. Eight specifications of multivariate GARCH models and six other methods were used. The application of all considered GARCH-class models was more efficient in stocks allocation than the implementation of the other analyzed methods. The simple specifications of multivariate GARCH models, whose parameters were estimated in two stages, like the DCC and CCC models were the best performing models. (original abstract)

W pracy dokonano oceny efektywności różnych metod tworzenia portfeli o minimalnej wariancji, w tym przede wszystkim z wykorzystaniem różnych specyfikacji wielorównaniowych modeli GARCH. Badanie zostało przeprowadzone dla 70 spółek notowanych na GPW w Warszawie. Zastosowano osiem parametryzacji modelu GARCH: skalarny BEKK, zintegrowany, CCC, ortogonalny dla 70 czynników, DCC, zintegrowany DCC, DECO-DCC, skalarny BEKK z warunkowym rozkładem t Studenta oraz sześć innych metod: równe udziały dla wszystkich aktywów, bezwarunkowa macierz kowariancji stóp zwrotu, ruchoma macierz kowariancji, ruchoma macierz kowariancji ze stałą wygładzania równą 25, metoda wyrównywania wykładniczego dla macierzy kowariancji oraz metoda wyrównywania wykładniczego dla macierzy kowariancji z parametrem wygasania równym 0,94. (abstrakt oryginalny)

Słowa kluczowe

EN

GARCH model; Covariance matrix; Equity portfolios

PL

Model GARCH; Macierz kowariancji; Portfel akcji

• Czasopismo: Dynamic Econometric Models
• Rocznik: 2011
• Tom: 11
• Strony: 87--98

Twórcy

autor

Piotr Fiszeder

• Nicolaus Copernicus University in Toruń, Poland

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Identyfikatory

DOI

10.12775/DEM.2011.006