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《Journal of Systems & Management》 2011-03
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A Portfolio Selection Model Based on GJR-EVT-COPULA and LPM

ZHOU Chun-yang,WU Chong-feng(Financial Engineering Research Center,Shanghai Jiao Tong University,Shanghai 200052,China)  
LPM is a downside risk measure,and can characterize different downside preferences,so it is a "respectable" risk measure in the portfolio optimization problem.Harlow analyses a mean-LPM portfolio selection model using realized data.In this paper,we analyze the problem using predicted data.To account for the time variation,leverage effect and fat-tails in the financial time series,we introduce the AR(1)-GJR(1,1)-EVT model to model the marginal distribution of individual asset.The t Copula is used to model the nonlinear dependence structure between assets.The empirical study based on China stock markets shows that the mean-lower partial moment model yields a better performance if the predicted data instead of realized data are used.
【Fund】: 国家自然科学基金重点项目(71001071 70831004)
【CateGory Index】: F224;F830.59
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