Risk Management and Optimal Asset Allocation by Stochastic Copula Model

2016 Fiscal Year Final Research Report

• Project/Area Number: 26380268
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Economic statistics
• Research Institution: Hitotsubashi University
• Principal Investigator: Nakamura Nobuhiro 一橋大学, 大学院国際企業戦略研究科, 教授 (90323899)
• Project Period (FY): 2014-04-01 – 2017-03-31
• 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

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.

Free Research Field

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