Konstrukcja portfeli efektywnych z zastosowaniem wielorownaniowych modeli
Ładowanie...
Data wydania
2007
Autorzy
Tytuł czasopisma
ISSN
0071-674X
eISSN
Tytuł tomu
ISBN
eISBN
Wydawca
Oficyna Wydawnicza AFM
Abstrakt
The purpose of this paper is to present dynamic approach to selection of efficient port folios
using a forecasts of variances and covar iances from the multivaria te GARCH models. Evaluation of efficiency for different methods of asset allocation is also performed for stocks from the WSE. Twelve specif ications o f the multivariate GARCH models, the univariate GARCH
model and six other covariance matrix estimation methods are used. Taking in to consideration
time varying variances and covariances of stock returns in portfolio selections increases, with
some exceptions , efficiency of asset allocation process. Simple specifications of the multivariateGARCH models, which parame ters are estimated in one stage, are the best performing
models. From economic point of view, the differences between the models are not significant,
with exception of the factor and orthogonal models. RiskMetrics methodology commonly
used by practitioners does not give good results for constructions of efficient portfolios .
Opis
Tematy
Słowa kluczowe
multivariate GARCH models, portfolio selection, efficient portfolios, wielorownaniowe modele GARCH, konstrukcja portfela, porfele efektywne
Źródło
Folia Oeconomica Cracoviensia 2007, Vol. XLVIII, s. 47-68.