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Zhang, F and Zhang, Z (2018) Strategic asset allocation by mixing shrinkage, vine-copula and market equilibrium. Journal of Forecasting, 37 (3). pp. 340-351. ISSN 0277-6693
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Strategic asset allocation by mixing shrinkage, vine-copula and market equilibrium.pdf - Accepted Version Download (512kB) | Preview |
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 |
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| Additional Information: | This is the accepted version of the following article:Zhang F, Zhang Z.Strategic asset allocation by mixing shrinkage, vinecopula and market equilibrium. Journal ofForecasting. 2018;37:340–351, which has been published in final form at https://doi.org/10.1002/for.2506 |
| 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: | 04 Sep 2021 10:54 |
| URI: | https://researchonline.ljmu.ac.uk/id/eprint/7725 |
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