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Dynamic Portfolio Analysis Based on Realized Higher Moments

Realized higher moments, which are the expansion of realized volatility in high-frequency time series, is proposed in the paper to measure the time-varying financial risk. The dynamic assets allocation is settled by Taylor series expansion of utility function. We apply realized higher moments to por...

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Main Authors:	Jiang Cui-xia, Liu Jing-dong
Format:	Conference Proceeding
Language:	English
Subjects:	dynamic portfolio Forward contracts Frequency estimation Frequency measurement high-frequency higher moments Mathematics Paper technology Portfolios Pricing realized volatility Risk analysis Time measurement Time series analysis
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creator	Jiang Cui-xia Liu Jing-dong
description	Realized higher moments, which are the expansion of realized volatility in high-frequency time series, is proposed in the paper to measure the time-varying financial risk. The dynamic assets allocation is settled by Taylor series expansion of utility function. We apply realized higher moments to portfolio analysis, and derive dynamic portfolio strategy. Our model repair two defects in traditional portfolio theory, without considering higher moments risk and settle problem statically. High frequency financial data in Chinese stock markets are selected to make empirical research. The empirical results show that higher moments risk possess volatility cluster, and dynamic portfolio is obviously superior to static portfolio.
doi_str_mv	10.1109/ICNC.2009.273
format	conference_proceeding
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identifier	ISSN: 2157-9555
ispartof	2009 Fifth International Conference on Natural Computation, 2009, Vol.6, p.360-364
issn	2157-9555
language	eng
recordid	cdi_ieee_primary_5366428
source	IEEE Xplore All Conference Series
subjects	dynamic portfolio Forward contracts Frequency estimation Frequency measurement high-frequency higher moments Mathematics Paper technology Portfolios Pricing realized volatility Risk analysis Time measurement Time series analysis
title	Dynamic Portfolio Analysis Based on Realized Higher Moments
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