Shrinkage Model Selection for Portfolio Optimization on Vietnam Stock Market

• 발행기관: 한국유통과학회
• 저자명: Nhat NGUYEN Trung NGUYEN Tuan TRAN An MAI
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 7 No.9, 135~145쪽, 전체 11쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2020.09.30

영문 초록

This paper provides the practical application of a linear shrinkage framework on Vietnam stock market. The cumulative data points observed in this analysis are 468 weeks from January 2011 to December 2019. All the companies listed on Ho Chi Minh City Stock Exchange (HOSE), except the companies under two years period from Initial Public Offering (IPO), are considered. The cumulative number of stocks picked is therefore 350 companies. The VNINDEX, which is the Vietnam Stock Index, is used as a reference index for shrinking to a single-index model. The empirical results show that the shrinkage of covariance matrix for portfolio optimization gives the promising results for the investors on Vietnam stock market. The shrinkage method helps the investors to produce the optimal portfolio in the sense of having higher profit with lower levels of risk compared to the portfolio of the traditional SCM method. Moreover, the portfolio turnover of shrinkage method is always kept at low magnitudes, and this makes the shrinkage portfolios save much transaction costs and reduce the liquidity risks in the trading process. In addition, the ability of shrinkage method in making profit is once again confirmed by the Alpha coefficient that achieves a high positive value.

목차

1. Introduction

2. Literature Review

3. Theoretical Framework

4. Data and Methodology

5. Empirical Results

References

키워드

Shrinkage Estimator Single-Index-Model Constant Correlation Model Identity Matrix