基于联合违约概率的资产组合投资优化方法

投资组合的资产联合违约概率(joint,probability of default,JPoD)是一种有效的系统风险测度工具.基于JPoD分析,提出了一种新的资产组合选择优化方法,即通过计算资产池中每两种资产的JPoD值得到JPoD矩阵,利用遍历算法逐次筛选,得出具有最小系统风险的多资产组合.实证分析首先利用2014 2015年的上证综指和深证成指数据验证了JPoD方法的有效性;其次,分别利用中国股票市场数据和美国股票市场数据将所提出的资产组合选择方法与马科维茨均值-方差组合理论、随机组合方法进行比较,结果表明无论是在中国股票市场还是美国股票市场,JPoD方法都明显优于其他两种方法.

The portfolio optimization method based on joint probability of default

Joint probability of default (JPoD) is an efficient measure for systematic risk. Based on JPoD analysis, this paper puts forth a new optimization method to choose asset portfolios, in other words, to get a portfolio with the minimum system risk by calculating the JPoDs of every two stocks in the stock pool and forming a JPoD matrix based on which this paper finds out the best choice after traversing successively. The empirical analysis firstly verifies the validity of JPoD method using the trading data of Shanghai Composite Index and Shenzhen Composite Index from 2014 to 2015. In addition, this paper makes a comparison among the new optimization method, Markowitz mean-variance theory and random choice, using both Chinese and USA stock market data. The results show that no matter in what market, the system risks of portfolio selected by new method are significantly lower than Markowitz mean-variance method and random combinations.