arXiv 1908.084422019-08q-fin.PM

定量投资组合选择：使用密度预测找到一致的投资组合

Quantitative portfolio selection: using density forecasting to find consistent portfolios

N. Meade, J. E. Beasley, C. J. Adcock

摘要：

在马科维茨有效投资组合的事后表现不如事前隐含的知识，我们做了两个贡献的投资组合选择文献。首先，我们提出了一种方法来确定区域的风险-预期收益率空间的事后性能匹配事前估计。其次，我们扩展了事后有效集数学，以克服事前有效前沿估计的偏差。密度预测方法是用来衡量的准确性，事前估计使用Berkowitz统计量，我们开发这个统计量，以增加其灵敏度的变化，在数据生成过程中。在风险-预期收益率空间中，密度预测是准确的，事后表现与事前估计相匹配，称为一致性区域。在模拟的多元正态数据集的“实验室”条件下，我们计算了一致性区域和估计的事后前沿。在不同的样本量用于估计，一致性区域的行为被证明是直观合理的，并封闭估计的事后前沿。使用美国道琼斯30指数的成分的实际数据，我们表明，一致性区域的大小是时间依赖的，在波动的条件下，可能会消失。使用我们的Berkowitz统计的发展，我们证明了基于一致而不是有效的投资组合的投资策略的优越性能。

英文摘要：

In the knowledge that the ex-post performance of Markowitz efficient portfolios is inferior to that implied ex-ante, we make two contributions to the portfolio selection literature. Firstly, we propose a methodology to identify the region of risk-expected return space where ex-post performance matches ex-ante estimates. Secondly, we extend ex-post efficient set mathematics to overcome the biases in the estimation of the ex-ante efficient frontier. A density forecasting approach is used to measure the accuracy of ex-ante estimates using the Berkowitz statistic, we develop this statistic to increase its sensitivity to changes in the data generating process. The area of risk-expected return space where the density forecasts are accurate, where ex-post performance matches ex-ante estimates, is termed the consistency region. Under the 'laboratory' conditions of a simulated multivariate normal data set, we compute the consistency region and the estimated ex-post frontier. Over different sample sizes used for estimation, the behaviour of the consistency region is shown to be both intuitively reasonable and to enclose the estimated ex-post frontier. Using actual data from the constituents of the US Dow Jones 30 index, we show that the size of the consistency region is time dependent and, in volatile conditions, may disappear. Using our development of the Berkowitz statistic, we demonstrate the superior performance of an investment strategy based on consistent rather than efficient portfolios.

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摘要：

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