한국경영과학회지 (Journal of the Korean Operations Research and Management Science Society)

  • 제39권4호
  • /
  • Pages.137-152
  • /
  • 2014
  • /
  • 1225-1119(pISSN)
  • /
  • 2733-4759(eISSN)
한국경영과학회 (The Korean Operations Research and Management Science Society)
권호 표지
DOI QR코드

DOI QR Code

공분산 추정방법에 따른 최적자산배분 성과 분석

Covariance Estimation and the Effect on the Performance of the Optimal Portfolio

  • 투고 : 2014.09.17
  • 심사 : 2014.10.12
  • 발행 : 2014.11.30
PDF 다운로드
⟨ 이전 논문 다음 논문 ⟩

초록

In this paper, I suggest several techniques to estimate covariance matrix and compare the performance of the global minimum variance portfolio (GMVP) in terms of out of sample mean standard deviation and return. As a result, the return differences among the GMVPs are insignificant. The mean standard deviation of the GMVP using historical covariance is sensitive to the estimation window and the number of assets in the portfolio. Among the model covariance, the GMVP using constant systematic risk ratio model or using short sale restriction shows the best performance. The performance difference between the GMVPs using historical covariance and model covariance becomes insignificant as the historical covariance is estimated with longer estimation window. Lastly, the implied volatilities from ELW prices do not lead to superior performance to the historical variance.

키워드

참고문헌

  1. 이창수, 이광봉, "모수 추정치의 오차가 포트폴리오 최적성에 미치는 효과에 관한 연구", 금융공학연구, 제1권(2002), pp.1-13.
  2. Chan, L.K.C., J. Karceski, and J. Lakonishock, "On Portfolio Optimization : Forecasting Covariances and Choosing the Risk Model," Review of Financial Studies, Vol.12, No.5 (1999), pp.937-971. https://doi.org/10.1093/rfs/12.5.937
  3. Chopra, V.K. and W.T. Ziemba, "The effect of errors in means, variances, and covariances on optimal portfolio choice," Journal of Portfolio Management, Vol.19, No.2(1993), pp.6-11.
  4. Christensen, B.J. and N.R. Prabhala, "The relation between implied and realized volatility," Journal of Financial Economics, Vol.50, No.2(1998), pp.125-150. https://doi.org/10.1016/S0304-405X(98)00034-8
  5. DeMiguel, V., L. Garlappi, and R. Uppal, "Optimal Versus Naive Diversification : How Inefficient is the 1/N Portfolio Strategy?," Review of Financial Studies, Vol.22, No.5 (2009a), pp.1915-1953. https://doi.org/10.1093/rfs/hhm075
  6. DeMiguel, V., L. Garlappi, and R. Uppal, "Generalized approach to portfolio optimization : Improving performance by constraining portfolio norms," Management Science, Vol.55, No.5(2009b), pp.798-812. https://doi.org/10.1287/mnsc.1080.0986
  7. DeMiguel, V., Y. Plyakha, R. Uppal, and G. Vilkov, "Improving portfolio selection using option-implied volatility and skewness," Journal of Financial and Quantitative Analysis, Vol.48, No.6(2013), pp.1813-1845. https://doi.org/10.1017/S0022109013000616
  8. Elton, E.J., M.J. Gruber, and J. Spitzer, "Improved Estimates of Correlation Coefficients and their Impact on Optimum Portfolios," European Financial Management, Vol.12, No.3(2006), pp.303-318. https://doi.org/10.1111/j.1354-7798.2006.00322.x
  9. Fu, F., "Idiosyncratic risk and the crosssection of expected stock returns," Journal of financial Economics, Vol.91, No.1(2009), pp.24-37. https://doi.org/10.1016/j.jfineco.2008.02.003
  10. Green, R.C. and B. Hollifield, "When will mean-variance efficient portfolios be well diversified?," Journal of Finance, Vol.47, No.5(1992), pp.1785-1809. https://doi.org/10.1111/j.1540-6261.1992.tb04683.x
  11. Jagannathan, R. and T.M.T. Ma, "Risk Reduction in Large Portfolios : Why imposing the wrong constraints helps," Journal of Finance, Vol.58, No.4(2003), pp.1651-1684. https://doi.org/10.1111/1540-6261.00580
  12. Jiang, G.J. and Y.S. Tian, "The model-free implied volatility and its information content," Review of Financial Studies, Vol.18, No.4(2005), pp.1305-1342. https://doi.org/10.1093/rfs/hhi027
  13. Kempf, A., O. Korn, and S. Sabning, "Portfolio optimization using forward-looking information," Review of Finance, 2014.
  14. Kostakis, A., N. Panigirtzoqlou, and G. Skiadopoulos, "Market timing with optionimplied distributions : A forward-looking approach," Management Science, Vol.57, No.7(2011), pp.1231-1249. https://doi.org/10.1287/mnsc.1110.1346
  15. Ledoit, O. and M. Wolf, "Honey, I shrunk the sample covariance matrix," Journal of Portfolio Management, Vol.30, No.4(2004), pp.110-119. https://doi.org/10.3905/jpm.2004.110
  16. Skintzi, V.D. and A.N. Refenes, "Implied correlation index : A new measure of diversification," Journal of Futures Markets, Vol.25, No.2(2005), pp.171-197. https://doi.org/10.1002/fut.20137