Построение динамических портфельных моделей высокого порядка на основе VAR-ICA-MGARCH

Целью исследования является доказательство того, что динамические портфели способны эффективно отражать временную динамику текущих рисков более высокого порядка, обеспечивая при этом более высокую надежность и стабильность по сравнению с традиционными портфелями. Предметом является экономическая асимметрия в портфельных моделях, которая возникает, когда разные участники обладают знаниями о рыночных условиях и показателях активов. В условиях, когда традиционные портфели демонстрируют низкие показатели доходности из-за ярко выраженных пиков и резких спадов доходности финансовых активов, а также из-за их неспособности учитывать динамические изменения финансовых рисков, данное исследование включает в традиционные портфели краткосрочные риски более высокого порядка, чтобы смягчить последствия отклонений от нормального распределения. Методология основана на концепции множественных финансовых временных рядов и модели VAR-ICA-MGARCH. Эта модель эффективно фиксирует условное среднее, ковариационную матрицу, матрицу взаимной асимметрии и матрицу взаимного эксцесса, тем самым характеризуя временные изменения в моменты более высокого порядка. Из-за присущих задачам оптимизации динамического портфеля нелинейностей мы используем генетический алгоритм для решения модели динамического портфеля. Результаты исследования показывают, что динамические портфели способны эффективно отражать временную динамику текущих рисков более высокого порядка, обеспечивая при этом более высокую надежность и стабильность по сравнению с традиционными портфелями, даже когда они подвержены таким сложным рискам. Практическая значимость исследования заключается в определении изменяющихся во времени весовых коэффициентов портфеля и проведении как имитационных экспериментов, так и эмпирического анализа.

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