{"title":"基于藤状协程的情景树生成方法,用于优化投资组合","authors":"Xiaolei He, Weiguo Zhang","doi":"10.1002/for.3112","DOIUrl":null,"url":null,"abstract":"<p>This paper presents an efficient heuristic to generate multi-stage scenario trees for portfolio selection problems. In the case of two or more risky assets, investors need to account for the complex multivariate dependence among different assets. The dependence patterns have shown not only asymmetric and fat tails but also time-varying, and the upper and lower tails have different effect on portfolio management. In this paper, we design a new scenario generation method by combining the GARCH-type model and vine copula model to properly reflect these complex dependence patterns in multiple assets in a flexible way. A multi-stage scenario tree is generated sequentially from this model by simultaneously utilizing the simulation and clustering methods. The scenarios' nodal probabilities are determined by solving an improved moment matching model, whose objective is to maintain the central moments and lower tails of the original distribution. The resulting scenario trees are then tested on a multi-stage portfolio selection model. The experimental results prove the efficiency and advantages of our proposed scenario generation method over other existing models or methods and the positive influence of moment matching on our method.</p>","PeriodicalId":47835,"journal":{"name":"Journal of Forecasting","volume":"43 6","pages":"1936-1955"},"PeriodicalIF":3.4000,"publicationDate":"2024-03-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Vine copula-based scenario tree generation approaches for portfolio optimization\",\"authors\":\"Xiaolei He, Weiguo Zhang\",\"doi\":\"10.1002/for.3112\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p>This paper presents an efficient heuristic to generate multi-stage scenario trees for portfolio selection problems. In the case of two or more risky assets, investors need to account for the complex multivariate dependence among different assets. The dependence patterns have shown not only asymmetric and fat tails but also time-varying, and the upper and lower tails have different effect on portfolio management. In this paper, we design a new scenario generation method by combining the GARCH-type model and vine copula model to properly reflect these complex dependence patterns in multiple assets in a flexible way. A multi-stage scenario tree is generated sequentially from this model by simultaneously utilizing the simulation and clustering methods. The scenarios' nodal probabilities are determined by solving an improved moment matching model, whose objective is to maintain the central moments and lower tails of the original distribution. The resulting scenario trees are then tested on a multi-stage portfolio selection model. The experimental results prove the efficiency and advantages of our proposed scenario generation method over other existing models or methods and the positive influence of moment matching on our method.</p>\",\"PeriodicalId\":47835,\"journal\":{\"name\":\"Journal of Forecasting\",\"volume\":\"43 6\",\"pages\":\"1936-1955\"},\"PeriodicalIF\":3.4000,\"publicationDate\":\"2024-03-05\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Forecasting\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://onlinelibrary.wiley.com/doi/10.1002/for.3112\",\"RegionNum\":3,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Forecasting","FirstCategoryId":"96","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1002/for.3112","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"ECONOMICS","Score":null,"Total":0}
Vine copula-based scenario tree generation approaches for portfolio optimization
This paper presents an efficient heuristic to generate multi-stage scenario trees for portfolio selection problems. In the case of two or more risky assets, investors need to account for the complex multivariate dependence among different assets. The dependence patterns have shown not only asymmetric and fat tails but also time-varying, and the upper and lower tails have different effect on portfolio management. In this paper, we design a new scenario generation method by combining the GARCH-type model and vine copula model to properly reflect these complex dependence patterns in multiple assets in a flexible way. A multi-stage scenario tree is generated sequentially from this model by simultaneously utilizing the simulation and clustering methods. The scenarios' nodal probabilities are determined by solving an improved moment matching model, whose objective is to maintain the central moments and lower tails of the original distribution. The resulting scenario trees are then tested on a multi-stage portfolio selection model. The experimental results prove the efficiency and advantages of our proposed scenario generation method over other existing models or methods and the positive influence of moment matching on our method.
期刊介绍:
The Journal of Forecasting is an international journal that publishes refereed papers on forecasting. It is multidisciplinary, welcoming papers dealing with any aspect of forecasting: theoretical, practical, computational and methodological. A broad interpretation of the topic is taken with approaches from various subject areas, such as statistics, economics, psychology, systems engineering and social sciences, all encouraged. Furthermore, the Journal welcomes a wide diversity of applications in such fields as business, government, technology and the environment. Of particular interest are papers dealing with modelling issues and the relationship of forecasting systems to decision-making processes.