英文标题：
《Diversifying portfolios of U.S. stocks with crude oil and natural gas: A
regime-dependent optimization with several risk measures》
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作者：
Hayette Gatfaoui
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最新提交年份：
2018
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英文摘要：
Energy markets are strategic to governments and economic development. Several commodities compete as substitutable energy sources and energy diversifiers. Such competition reduces the energy vulnerability of countries as well as portfolios\' risk exposure. Vulnerability results mainly from price trends and fluctuations, following supply and demand shocks. Such energy price uncertainty attracts many market participants in the energy commodity markets. First, energy producers and consumers hedge adverse price changes with energy derivatives. Second, financial market participants use commodities and commodity derivatives to diversify their conventional portfolios. For that reason, we consider the joint dependence between the United States (U.S.) natural gas, crude oil and stock markets. We use Gatfaoui\'s (2015) time varying multivariate copula analysis and related variance regimes. Such approach handles structural changes in asset prices. In this light, we draw implications for portfolio optimization, when investors diversify their stock portfolios with natural gas and crude oil assets. We minimize the portfolio\'s variance, semi-variance and tail risk, in the presence and the absence of constraints on the portfolio\'s expected return and/or U.S. stock investment. The return constraint reduces the performance of the optimal portfolio. Moreover, the regime-specific portfolio optimization helps implement an enhanced active management strategy over the whole sample period. Under a return constraint, the semi-variance optimal portfolio offers the best risk-return tradeoff, whereas the tail-risk optimal portfolio offers the best tradeoff in the absence of a return constraint.
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中文摘要：
能源市场对政府和经济发展具有战略意义。有几种大宗商品作为可替代能源和能源多样化产品进行竞争。这种竞争降低了各国的能源脆弱性以及投资组合的风险敞口。脆弱性主要源于供求冲击后的价格趋势和波动。这种能源价格的不确定性吸引了能源商品市场的许多市场参与者。首先，能源生产者和消费者利用能源衍生品对冲不利的价格变化。其次，金融市场参与者利用大宗商品和大宗商品衍生品来实现其传统投资组合的多样化。因此，我们考虑美国天然气、原油和股票市场之间的共同依赖性。我们使用Gatfaoui（2015）的时变多元copula分析和相关的方差机制。这种方法处理资产价格的结构性变化。有鉴于此，当投资者利用天然气和原油资产使其股票投资组合多样化时，我们得出了投资组合优化的含义。在投资组合的预期回报和/或美国股票投资存在和不存在约束的情况下，我们最小化投资组合的方差、半方差和尾部风险。回报约束会降低最优投资组合的性能。此外，特定于制度的投资组合优化有助于在整个样本期内实施增强的主动管理策略。在回报约束下，半方差最优投资组合提供了最佳的风险回报权衡，而尾部风险最优投资组合在没有回报约束的情况下提供了最佳的权衡。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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