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首页> 外文会议>Proceedings of the Third IASTED International Conference on Financial Engineering and Applications >OPTIMAL PORTFOLIOS WITH SKEWED AND HEAVY-TAILED DISTRIBUTIONS
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OPTIMAL PORTFOLIOS WITH SKEWED AND HEAVY-TAILED DISTRIBUTIONS

机译：具有倾斜和重分布的最佳组合

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摘要

The effects of skewed and heavy-tailed return distributions for optimal portfolio construction are investigated.Therefore, the class of generalized hyperbolic (GH) distributions is considered. Important distributions in finance such as the normal distribution also belong to the GH class of distributions. In the first part of the paper, models for asset returns are discussed and the class of GH distributions is introduced. Important limiting cases of the class of GH distributions are described. Next, the terms coherent and convex risk measures are introduced and the resulting portfolio optimization problems are stated. Finally, the portfolio optimization problem is solved with real-world data. Thereby, the efficient frontier is compared with the efficient frontier generated by a Markowitz model. It is shown that the normal assumption severely underestimates the extreme risks of the portfolio. Special attention is given to the effect of a currency index in a portfolio. The currency index has, on its own, no superior risk/return properties. However, in a portfolio context, the currency index greatly improves the risk/return profile of a portfolio.
机译：研究了偏斜和重尾收益分布对最优投资组合构建的影响，因此，考虑了广义双曲（GH）分布的类别。金融中的重要分布（例如正态分布）也属于GH类分布。在本文的第一部分，讨论了资产收益模型，并介绍了GH分布的类别。描述了GH分布类别的重要极限情况。接下来，引入术语相干风险度量和凸风险度量，并陈述由此产生的投资组合优化问题。最后，利用实际数据解决投资组合优化问题。由此，将有效边界与由Markowitz模型产生的有效边界进行比较。结果表明，正常假设严重低估了投资组合的极端风险。特别注意投资组合中货币指数的影响。货币指数本身没有优越的风险/回报特性。但是，在投资组合的情况下，货币指数极大地改善了投资组合的风险/收益状况。

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