Facial reconstruction

Search LJMU Research Online

Browse Repository | Browse E-Theses

Strategic asset allocation by mixing shrinkage, vine-copula and market equilibrium

Zhang, F and Zhang, Z Strategic asset allocation by mixing shrinkage, vine-copula and market equilibrium. Journal of Forecasting. ISSN 0277-6693 (Accepted)

[img] Text
Strategic asset allocation by mixing shrinkage, vine-copula and market equilibrium.pdf - Accepted Version
Restricted to Repository staff only

Download (512kB)

Abstract

We propose a new portfolio optimization method combining the merits of the shrinkage estimation (Jorion, 1985, 1986 and 1991), vine-copula structure (Aas and Berg, 2009), and Black-Litterman model (Black and Litterman, 1991 and 1992). It is useful for many investors to satisfy simultaneously the three investment objectives, estimation sensitivity, asymmetric risks appreciation and portfolio stability. A typical investor with such objectives is a sovereign wealth fund (SWF). We use China’s SWF as an example to empirically test the method based on a 15-asset strategic asset allocation problem. Robustness tests using sub-samples not only show the method's overall effectiveness, but also manifest that the function of each component is as expected.

Item Type: Article
Uncontrolled Keywords: 1403 Econometrics
Subjects: H Social Sciences > HF Commerce > HF5001 Business
H Social Sciences > HF Commerce
Divisions: Liverpool Business School
Publisher: Wiley
Date Deposited: 15 Dec 2017 12:02
Last Modified: 15 Dec 2017 12:02
URI: http://researchonline.ljmu.ac.uk/id/eprint/7725

Actions (login required)

View Item View Item