Dynamic Approaches to Mean-Variance Portfolio Selection in Cointegrated Vector Autoregressive Systems
Date Issued
2011
Date
2011
Author(s)
Chan, Meng-Yu
Abstract
This paper uses the PCB Cointegration Model to organize the sequence information of the price of financial commodity into the VAR(1) type. The parameters in the formula VAR(1) must meet the formulas in this paper. We extend Markowitz’s mean-variance optimization approach published in 1952, which is to maximize the return under the fixed risk, to multi-stage asset allocation, and use this new model to discuss the one-stage method and the two-stage method. The paper then compares the net returns of the two methods when undertaking the same risk, under the condition of transaction cost and intercept. We will also examine the one-stage method and the two-stage method in the special cases to determine which one can bring the better net expected return under the same risk.
Subjects
PCB Cointegration Model
Markowitz Mean-Variance OptimizationApproach
Multi-stage Asset Allocation
One-stage Method
Two-stageMethod
File(s)![Thumbnail Image]()
Loading...
Name
ntu-100-R96221043-1.pdf
Size
23.54 KB
Format
Adobe PDF
Checksum
(MD5):0b83744909ea21169eb8e75280f91edb