DYNAMIC PORTFOLIO OPTIMIZATION USING GENERALIZED DYNAMIC CONDITIONAL HETEROSKEDASTIC FACTOR MODELS

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Author(s)

Abstract

We model large panels of financial time series by means of generalized dynamic factor models with multivariate GARCH idiosyncratic components. Such models combine the features of dynamic factors with those of a generalized smooth transition conditional correlation (GSTCC) model, which belongs to the class of time-varying conditional correlation models. The model is applied to dynamic portfolio allocation with Value at Risk constraints on 6.5 years of daily TOPIX Sector Indexes. Results show that the proposed model yields better portfolio performance than other multivariate models proposed in the literature, including the traditional mean-variance approach.

Journal

  • JOURNAL OF THE JAPAN STATISTICAL SOCIETY

    JOURNAL OF THE JAPAN STATISTICAL SOCIETY 40(1), 145-166, 2010-06-01

    THE JAPAN STATISTICAL SOCIETY

References:  44

Codes

  • NII Article ID (NAID)
    10026983631
  • NII NACSIS-CAT ID (NCID)
    AA1105098X
  • Text Lang
    ENG
  • Article Type
    ART
  • ISSN
    18822754
  • NDL Article ID
    10885823
  • NDL Source Classification
    ZD43(経済--統計)
  • NDL Call No.
    Z76-A259
  • Data Source
    CJP  NDL  J-STAGE 
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