NDLI: Dynamic Portfolio Analysis Based on Time-Varying Risk Measurement

Content Provider	IEEE Xplore Digital Library
Author	Jiang Cui-xia Zhang Shi-ying
Copyright Year	2007
Description	Author affiliation: Shandong Inst. of Bus. & Technol., Yantai (Jiang Cui-xia)
Abstract	Dynamic portfolio is often utilized to disperse the time-varying risk in financial market. Under the frame of mean-variance analysis, we derive the dynamic portfolio policy. The optimal solution to dynamic portfolio are based on the time-varying risk, which is estimated by two volatility models, including multivariate GARCH model and realized covariance matrix. In empirical research, the effects of dynamic portfolio are compared with those of static portfolio, and the two volatility models are compared also. Empirical results show that dynamic portfolio is obviously superior to static portfolio, and the realized covariance matrix is appreciably superior to the multivariate GARCH model.
Starting Page	2065
Ending Page	2070
File Size	3396364
Page Count	6
File Format	PDF
ISBN	9787560322780
DOI	10.1109/ICMSE.2007.4422144
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2007-08-20
Publisher Place	China
Access Restriction	Subscribed
Rights Holder	HARBIN INSTITUTE OF TEC
Subject Keyword	dynamic portfolio Conference management Financial management realized volatility Covariance matrix Frequency measurement Asset management Risk analysis Technology management high frequency financial time series Engineering management MGARCH model Risk management Portfolios
Content Type	Text
Resource Type	Article

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