So sánh hiệu quả kỹ thuật co gọn phi tuyến tính với co gọn tuyến tính trên mô hình tương quan cố định trong tối ưu hóa danh mục đầu tư=Comparison of the Effectiveness of Nonlinear Shrinkage and Linear Shrinkage Toward Constant Correlation Model in Portfolio Optimization

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Tác giả: Thị Anh Quyên Lê, Minh Nhật Nguyễn, Diên Vỹ Phan, Thiên Kỷ Trần

Ngôn ngữ: vie

Ký hiệu phân loại:

Thông tin xuất bản: Tạp chí Kinh tế và Ngân hàng châu Á, 2024

Mô tả vật lý: tr.22-35

Bộ sưu tập: Báo, Tạp chí

ID: 484993

Thêm vào giỏ

Lý thuyết danh mục đầu tư hiện đại (Modern Portfolio Theory - MPT) ra đời năm 1952 đã đặt nền móng cho việc tối ưu hóa danh mục đầu tư, nhấn mạnh việc đa dạng hóa và cân bằng giữa rủi ro và lợi nhuận. Tuy nhiên, mô hình trung bình-phương sai truyền thống thường kém hiệu quả khi số lượng tài sản lớn. Do đó, các kỹ thuật co gọn, đặc biệt là co gọn phi tuyến tính (nonlinear shrinkage), được phát triển để giải quyết hạn chế này. Nghiên cứu này so sánh trực tiếp hiệu quả của kỹ thuật co gọn phi tuyến tính (non-linear shrinkage) với kỹ thuật co gọn tuyến tính (linear shrinkage), đặc biệt trên mô hình co gọn tương quan cố định (Shrinkage toward Constant Correlation Model - SCCM) đã từng được chứng minh là có kết quả đầu tư vượt trội nhất trong các mô hình co gọn tuyến tính khác, tại thị trường chứng khoán (TTCK) Việt Nam giai đoạn 2019–2023. Sử dụng dữ liệu giá cổ phiếu từ Sở Giao dịch Chứng khoán TP. HCM (HOSE), danh mục đầu tư có phương sai tối thiểu (Global Minimum Variance Portfolio- GMVP) và kỹ thuật hậu kiểm, nghiên cứu này nhằm đánh giá hiệu quả danh mục dựa trên các tiêu chí như lợi nhuận tích lũy, độ biến động hàng năm, tỷ lệ Sharpe và tỷ lệ Sortino. Kết quả cho thấy, co gọn phi tuyến tính có hiệu quả vượt trội hơn SCCM trên các tiêu chí bao gồm độ biến động hàng năm, tỷ lệ Sharpe, tỷ lệ Omega và tỷ lệ Sortino. Nghiên cứu khẳng định tính ưu việt của kỹ thuật co gọn phi tuyến tính trong tối ưu hóa danh mục đầu tư trên TTCK Việt Nam, góp phần củng cố các nghiên cứu trước đây và hỗ trợ nhà đầu tư ra quyết định đầu tư hiệu quả.Modern Portfolio Theory (MPT), established in 1952, laid the foundation for portfolio optimization, emphasizing diversification and the balance between risk and return. However, the traditional mean-variance model often needs to improve when the number of assets is large. Shrinkage estimation, especially nonlinear shrinkage, was developed to address this limitation. This study directly compares the effectiveness of nonlinear shrinkage with linear shrinkage, specifically on the Shrinkage toward Constant Correlation Model (SCCM), which has been proven to provide superior investment results compared to other linear shrinkage models in the Vietnam stock market from 2019 to 2023. Using stock price data from HOSE, the minimum variance portfolio (GMVP), and backtesting techniques, this study evaluates portfolio performance based on cumulative return, annual volatility, Sharpe ratio and Sortino ratio criteria. The results indicate that nonlinear shrinkage outperforms the SCCM across the criteria of annual volatility, Sharpe ratio, Omega ratio, and Sortino ratio. The research affirms the superiority of the nonlinear shrinkage technique in portfolio optimization on the Vietnam stock market, reinforcing prior studies and aiding investors in making effective investment decisions.

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