论文标题
选择投资组合的系统性风险：可控性和优化
Systemic Risk of Optioned Portfolios: Controllability and Optimization
论文作者
论文摘要
我们根据Covar衡量的系统性风险研究了投资组合选择问题。我们首先证明，由于传染效果和Seesaw效应，纯库存投资组合的系统性风险基本上是无法控制的。接下来，我们证明有必要和足够的介绍可以通过相关性对冲和极端损失对冲来控制系统性风险。除了系统性的风险控制外，我们还表明，使用选项还可以增强回流风险性能。然后，通过对选项投资组合的条件分布的合理近似，我们表明投资组合优化问题可以作为二阶锥体程序（SOCP）提出，该程序允许有效地计算。最后，我们进行了全面的模拟和经验测试，以说明理论发现和方法的性能。
We investigate the portfolio selection problem against the systemic risk which is measured by CoVaR. We first demonstrate that the systemic risk of pure stock portfolios is essentially uncontrollable due to the contagion effect and the seesaw effect. Next, we prove that it is necessary and sufficient to introduce options to make the systemic risk controllable by the correlation hedging and the extreme loss hedging. In addition to systemic risk control, we show that using options can also enhance return-risk performance. Then, with a reasonable approximation of the conditional distribution of optioned portfolios, we show that the portfolio optimization problem can be formulated as a second-order cone program (SOCP) that allows for efficient computation. Finally, we carry out comprehensive simulations and empirical tests to illustrate the theoretical findings and the performance of our method.
