Memilih Model Resiko pada Optimisasi Portofolio dengan Menggunakan Peramalan Kovariansi

Abstract

The literature on time series models for covariance is now extremely large. There are many proposed specifications and many empirical examples. However, explicit comparison between methods has been hampered by the multitude of metrics to rues in forming the comparisons. The distance between two covariance matrices in not well defined and it is certainly not obvious that all elements of this difference ought to be treated as equally important. In this paper we evaluate the performance of models for the covariance structure of stock returns, focusing on their use for optimal asset allocation. Portfolio optimization helps for risk contro1., and a three factor model in adequate for seIection the minimum variance portfolio. Under tracking error volatility criterion large difference emerge across the models.