Nghiên cứu về một số cấu trúc phụ thuộc phi tuyến tính trong thiết kế danh mục đầu tư=On some nonlinear dependence structure in portfolio design

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Thông tin xuất bản: Tạp chí Phát triển Khoa học & Công nghệ: Chuyên san Khoa học – Kinh tế - Luật và Khoa học Quản lý, 2018

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Constructing portfolios with high returns and low risks is always in great demand. Markowitz (1952) utilized correlation coefficients between pairs of stocks to build portfolios satisfying different levels of risk tolerance. The correlation coefficient describes the linear dependence structure between two stocks, but cannot capture a lot of nonlinear independence structures. Therefore, sometimes, portfolio performances are not up to investors' expectations. In this paper, based on the theory of copula by Sklar (see [19]), we investigate several new methods to detect nonlinear dependence structures. These new methods allow us to estimate the density of the portfolio which leads to calculations of some popular risk measurements like the value at risk (VaR) of investment portfolios. As for applications, making use of the listed stocks on the Ho Chi Minh city Stock Exchange (HoSE), some Markowitz optimal portfolios are constructed together with their risk measurements. Apparently, with nonlinear dependence structures, the risk evaluations of some pairs of stocks have noticeable twists. This, in turn, may lead to changes of decisions from investors.Thiết kế các danh mục đầu tư có lợi nhuận cao và rủi ro thấp luôn là đối tượng của các nhà nghiên cứu. Markowits (1952) sử dụng các hệ số tương quan giữa các cặp cổ phiếu để xây dựng các danh mục thỏa mãn các mức rủi ro có thể chấp nhận được. Hệ số tương quan mô tả cấu trúc phụ thuộc tuyến tính giữa hai cổ phiếu nhưng không thể tích hợp được các cấu trúc độc lập phi thuyến tính. Vì vậy, hiệu quả của danh mục đầu tư đôi khi không đáp ứng được kỳ vọng của nhà đầu tư. Trong bài viết này, dựa trên lý thuyết copula của Sklar (xem [19]), chúng tôi kiểm tra một số phương pháp mới để xác định các cấu trúc phụ thuộc phi tuyến tính. Những phương pháp mới này giúp chúng tôi ước lượng được phân bố của các danh mục, từ đó cho phép áp dụng các phương pháp ước lượng rủi ro phổ biến của các danh mục đầu tư như VaR. Chúng tôi áp dụng phương pháp này đối với các cổ phiếu niêm yết trên Sàn Giao dịch Cổ phiếu TP.HCM (HoSE), xây dựng một số danh mục tối ưu theo phương pháp của Markowitz cùng với các phương pháp ước tính rủi ro. Kết quả cho thấy, với các cấu trúc phụ thuộc phi tuyến tính, ước tính rủi ro của một số cặp cổ phiếu có những tác động đáng chú ý đến danh mục đầu tư. Kết quả này dẫn đến thay đổi các quyết định của nhà đầu tư.

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