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本文考虑在允许卖空的情况下,结合投资者对未来收益的绝对估计和考虑投资者偏好的马科维茨投资组合模型,对两种模型的结果进行比较,简要描述投资者的主观估计对投资组合结果的影响,发现模型参数估计的偏差会引起结果的较大偏差,进而分别引入TGARCH模型和DCC-GARCH模型对收益率和波动率进行预测比较,运用该模型给出投资者对未来市场收益情况的绝对估计,得到结果发现,对实证采用数据拟合两种GARCH模型,投资组合的相对损失小于原先的马科维茨模型,但两种模型对波动率描述的侧重不同,仍有不同程度的不足。
In this paper, we consider the Markovian portfolio model considering the investors ’absolute future earnings and the investor’s preference when the short sale is allowed, and compare the results of the two models with a brief description of the investors’ subjective estimates Investment portfolio results, found that the deviation of the model parameter estimation will cause a large deviation of the results, and then the introduction of the TGARCH model and the DCC-GARCH model to predict and compare the yield and volatility, the use of the model gives investors the future market The absolute estimation of the returns shows that the relative loss of the portfolio is less than the previous Markowitz model for the empirical use of data to fit the two GARCH models, but the two models are different in their emphasis on volatility descriptions and are still different Insufficient degree.