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

0 Người đánh giá. Xếp hạng trung bình 0

Tác giả: Đình Thiên Nguyễn, Phúc Sơn Nguyễn, Hoàng Uyên Phạm

Ngôn ngữ: vie

Ký hiệu phân loại:

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

Mô tả vật lý: tr.91

Bộ sưu tập: NCBI

ID: 581477

Thêm vào giỏ

Constructing portfolios with highreturns and low risks is always in greatdemand. Markowitz (1952) utilized correlationcoefficients between pairs of stocks to buildportfolios satisfying different levels of risktolerance. The correlation coefficient describesthe linear dependence structure between twostocks, but cannot capture a lot of nonlinearindependence structures. Therefore, sometimes,portfolio performances are not up to investors'expectations. In this paper, based on the theoryof copula by Sklar (see [19]), we investigateseveral new methods to detect nonlineardependence structures. These new methodsallow us to estimate the density of the portfoliowhich leads to calculations of some popular riskmeasurements like the value at risk (VaR) ofinvestment portfolios. As for applications,making use of the listed stocks on the Ho ChiMinh city Stock Exchange (HoSE), someMarkowitz optimal portfolios are constructedtogether with their risk measurements.Apparently, with nonlinear dependencestructures, the risk evaluations of some pairs ofstocks have noticeable twists. This, in turn, maylead to changes of decisions from investors. Thiết kế các danh mục đầu tư có lợi nhuậncao và rủi ro thấp luôn là đối tượng của các nhànghiên cứu. Markowits (1952) sử dụng các hệ sốtương quan giữa các cặp cổ phiếu để xây dựng cácdanh mục thỏa mãn các mức rủi ro có thể chấp nhậnđược. Hệ số tương quan mô tả cấu trúc phụ thuộctuyến tính giữa hai cổ phiếu nhưng không thể tíchhợp được các cấu trúc độc lập phi thuyến tính. Vìvậy, hiệu quả của danh mục đầu tư đôi khi khôngđáp ứng được kỳ vọng của nhà đầu tư. Trong bài viếtnày, dựa trên lý thuyết copula của Sklar (xem [19]),chúng tôi kiểm tra một số phương pháp mới để xácđịnh các cấu trúc phụ thuộc phi tuyến tính. Nhữngphương pháp mới này giúp chúng tôi ước lượng đượcphân bố của các danh mục, từ đó cho phép áp dụngcác phương pháp ước lượng rủi ro phổ biến của cácdanh mục đầu tư như VaR. Chúng tôi áp dụngphương pháp này đối với các cổ phiếu niêm yết trênSàn Giao dịch Cổ phiếu TP.HCM (HoSE), xây dựngmột số danh mục tối ưu theo phương pháp củaMarkowitz cùng với các phương pháp ước tính rủiro. Kết quả cho thấy, với các cấu trúc phụ thuộc phituyến tính, ước tính rủi ro của một số cặp cổ phiếu cónhững tác động đáng chú ý đến danh mục đầu tư.Kết quả này dẫn đến thay đổi các quyết định của nhàđầu tư.

Tạo bộ sưu tập với mã QR