Risk Management and Optimal Asset Allocation by Stochastic Copula Model
| Project/Area Number |
26380268
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Economic statistics
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| Research Institution | Hitotsubashi University |
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Principal Investigator |
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| Project Period (FY) |
2014-04-01 – 2017-03-31
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| Project Status |
Completed (Fiscal Year 2016)
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| Budget Amount *help |
¥4,160,000 (Direct Cost: ¥3,200,000、Indirect Cost: ¥960,000)
Fiscal Year 2016: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2015: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2014: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
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| Keywords | 確率的コピュラ / 確率的ボラティリティ / 共和分 / 誤差修正モデル / 自己励起過程 / モデルフリーインプライドボラティリティ / 実現尺度 / バリアンス・スワップ / ジャンプ拡散過程 / 確率ボラティリティ / 共和分投資 / 確率的ヴァインコピュラ / Hamiltonian Monte-Carlo / 確率的裾依存コピュラ / GH-skewed t分布 / 高頻度データ解析 / 動的誤差修正モデル / 確率的共分散モデル / リスク・パリティ / リスク・バジェット / 下方リスク / HEAVY CAPM / GRASモデル / ヴァイン・コピュラ |
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| Outline of Final Research Achievements |
We study the risk management and optimal asset allocation problems
as applications of the stochastic copula model, in which tail-dependence parameters change stochastically. Employing the Hamiltonian Monte Carlo (HMC) method for their statistical estimations we demonstrate the effectiveness of the HMC method. In the optimal asset allocation problems, we deal with tail risk parity (TRP) investment in which the downside risk is distributed equally among assets, and dynamic investment when there are multiple cointegrating relationships between asset classes. Furthermore, we study the stochastic copula model using realized measures calculated from high-frequency data analysis, and the stochastic volatility model with a jump with self-exciting intensity for modelling VIX.
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Report
(4 results)
Research Products
(25 results)
