A large constrained time-varying portfolio selection model with DCC-MIDAS: Evidence from Chinese stock market

Xu Qifa; Zuo Junqing; Jiang Cuixia; He Yaoyao

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A large constrained time-varying portfolio selection model with DCC-MIDAS: Evidence from Chinese stock market

机译：具有DCC-MIDAS的大约束时变量选择模型：中国股市的证据

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摘要

To solve a large portfolio selection, we propose a novel norm constrained time-varying minimum variance model with DCC-MIDAS, labelled as NC-MVP-DCC-MIDAS. It applies the DCC-MIDAS model to improve the estimation of dynamic correlations among financial assets by exploiting rich information contained in mixed frequency data. Additionally, it imposes norm constraints on the minimum variance portfolio with the elastic-net penalty to pick a reasonable number of assets and prevent extreme positions in the resulting portfolio. Its superiority is illustrated via empirical studies on the construction of optimal sparse and stable portfolios with the constituent stocks in the Shanghai Stock Exchange (SSE) 50 Index of China.

机译：为了解决大量的投资组合选择，我们提出了一种新的NARM限制时变量与DCC-MIDAS的最小差异模型，标记为NC-MVP-DCC-MIDAS。它采用DCC-MIDAS模型来通过利用混合频率数据中包含的丰富信息来改善金融资产之间的动态相关性估算。此外，它对最小方差组合的规范限制，弹性净罚款挑选了合理数量的资产，并防止了所得组合中的极端位置。它的优越性通过关于上海证券交易所（SSE）50指数的组成股的最佳稀疏和稳定投资组合的实证研究。

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来源
《International journal of finance & economics》 |2021年第3期|3417-3435|共19页
作者
Xu Qifa; Zuo Junqing; Jiang Cuixia; He Yaoyao;
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作者单位

Hefei Univ Technol Sch Management Hefei Peoples R China|Minist Educ Key Lab Proc Optimizat & Intelligent Decision Mak Hefei Peoples R China;

Hefei Univ Technol Sch Management Hefei Peoples R China;

Hefei Univ Technol Sch Management Hefei Peoples R China;

Hefei Univ Technol Sch Management Hefei Peoples R China;

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原文格式 PDF
正文语种 eng
中图分类
关键词
DCC-MIDAS; elastic-net; mean-variance; norm constraints; portfolio selection;

机译：DCC-MIDAS;弹性网;平均方差;常规约束;投资组合选择;

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A large constrained time-varying portfolio selection model with DCC-MIDAS: Evidence from Chinese stock market

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