2024-03-28T21:37:59Z
https://tsukuba.repo.nii.ac.jp/oai
oai:tsukuba.repo.nii.ac.jp:00048068
2022-04-27T09:20:09Z
3:62:5591:7083
469:471
Risk-Based Portfolios with Large Dynamic Covariance Matrices
吉田, 健一
Nakagawa, Kei
Imamura, Mitsuyoshi
Yoshida, Kenichi
© 2018 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (http://creativecommons.org/licenses/by/4.0/).
In the field of portfolio management, practitioners are focusing increasingly on risk-based portfolios rather than on mean-variance portfolios. Risk-based portfolios are constructed based solely on covariance matrices, and include methods such as minimum variance (MV), risk parity (RP), and maximum diversification (MD). It is well known that the performance of a mean-variance portfolio depends on the accuracy of the estimations of the inputs. However, no studies have examined the relationship between the performance of risk-based portfolios and the estimated accuracy of covariance matrices. In this research, we compare the performance of risk-based portfolios for several estimation methods of covariance matrices in the Japanese stock market. In addition, we propose a highly accurate estimation method called cDCC-NLS, which incorporates nonlinear shrinkage into the cDCC-GARCH model. The results confirm that (1) the cDCC-NLS method shows the best estimation accuracy, (2) the RP and MD do not depend on the estimation accuracy of the covariance matrix, and (3) the MV does depend on the estimation accuracy of the covariance matrix.
MDPI
2018-05
eng
journal article
http://hdl.handle.net/2241/00153566
https://tsukuba.repo.nii.ac.jp/records/48068
10.3390/ijfs6020052
2227-7072
International Journal of Financial Studies
6
2
52
https://tsukuba.repo.nii.ac.jp/record/48068/files/IJFS_6-2-52.pdf
application/pdf
291.0 kB
2018-10-16