| 报告题目 | Risk Management with Model Averaging Techniques under VaR Constraints | ||
| 报告人（单位） | 杨爱军（香港中文大学博士） | ||
| 点评人（单位） | 刘晓星（bevictor伟德官网） | 点评人（单位） | 虞斌（bevictor伟德官网） |
| 时间地点 | 2011年12月23日（周五下午2:00）九龙湖bevictor伟德官网B-201会议室 | ||
| 报告内容摘要 | |||
| The research considers the problem of model uncertainty in the context of multivariate volatility models which is particularly important given the highly restrictive nature of these models that are used in practice, and discusses the use of model averaging techniques as away of dealing with the risk of inadvertently using false models in portfolio management. Evaluation of volatility models is then considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for individual as well as average models. The model averaging idea and the VaR diagnostic tests are illustrated by an application to portfolios of daily returns. The empirical evidence supports the use of thick model averaging strategies over single models or Bayesian type model averaging procedures. | |||
