基于熵风险价值的调和稳定收益资产配置
Entropic Value-at-Risk parity for tempered stable returns
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中文总结 AI 辅助
本文提出调和稳定收益下的熵风险价值平价方法，构建逆风险平价与等风险贡献组合，实证显示其夏普比率优于等权重。
中文摘要 AI 辅助
我们针对调和稳定收益开发了熵风险价值（EVaR）平价策略。基于EVaR的逆风险平价（IRP）和等风险贡献（ERC）投资组合采用多元正态调和稳定模型以及具有调和稳定分量的独立成分分析构建。我们推导了相应的资产层面EVaR和EVaR偏差贡献，并利用后者将拟合的位置项与EVaR风险贡献分离。在高斯收益下，EVaR偏差IRP和ERC恢复了传统的波动率IRP和ERC权重。我们在三个投资领域中评估了所得投资组合。实证表明，基于EVaR的ERC投资组合在各领域相对于等权重实现了正的夏普差异。
英文摘要
We develop Entropic Value-at-Risk (EVaR) parity for tempered stable returns. EVaR-based inverse risk parity (IRP) and equal risk contribution (ERC) portfolios are constructed using multivariate normal tempered stable models and independent component analysis with tempered stable components. We derive the corresponding asset-level EVaR and EVaR-deviation contributions and use the latter to separate the fitted location term from EVaR risk contributions. Under Gaussian returns, EVaR-deviation IRP and ERC recover conventional volatility IRP and ERC weights. We evaluate the resulting portfolios in three investment universes. Empirically, EVaR-based ERC portfolios achieve positive Sharpe differences relative to equal weight across the universes.
