论文标题
重新审视了投资组合多元化
Portfolio Diversification Revisited
论文作者
论文摘要
我们在Alexeev和Tapon（2012）中放松了许多假设，以说明非正态分布，偏斜，多政权和Leptokurtic Asset资产回报分布。我们将Markov改编的征费工艺模型校准到股票市场数据以证明我们的方法的优点，并表明校准模型在匹配经验时刻方面做得很好。最后，我们认为有关投资组合多元化的许多相关文献都取决于与某些可观察到的规律性紧张的假设，并且如果忽略，可能会导致风险低估。
We relax a number of assumptions in Alexeev and Tapon (2012) in order to account for non-normally distributed, skewed, multi-regime, and leptokurtic asset return distributions. We calibrate a Markov-modulated Levy process model to equity market data to demonstrate the merits of our approach, and show that the calibrated models do a good job of matching the empirical moments. Finally, we argue that much of the related literature on portfolio diversification relies on assumptions that are in tension with certain observable regularities and which, if ignored, may lead to underestimation of risk.
