ABSTRACT

This paper tests whether the financial interpretation of risk contributions (Qian, 2006), as measured by marginal change in volatility, holds when accounting for fat tails in the asset return distributions. This important result is the theoretical foundation of risk-based portfolios, but relies on the assumption of normality. If the result does not hold, more sophisticated techniques are required to estimate risk-based portfolios.

A simulation study is conducted to replicate the stressed environment required by Qian (2006). The Quantile Simulation method (Alexander, 2013) is used to simulate asset return distributions that are reasonable replicates of the empirical samples. Given the relative novelty of the simulation method, this paper also reports the extent to which the simulated samples can approximate the empirical sample of each asset.

摘要

本文测试了用风险波动率的边际变化衡量的风险贡献的财务解释（Qian，2006），在考虑资产收益分配中的胖尾时是否成立。这一重要结果是基于风险的投资组合的理论基础，但依赖于正态性的假设。如果结果不成立，则需要更复杂的技术来估算基于风险的投资组合。

进行了仿真研究，以复制钱（2006）要求的压力环境。分位数模拟方法（亚历山大，2013年）用于模拟资产收益率分布，这些资产收益率分布是经验样本的合理复制。考虑到模拟方法的相对新颖性，本文还报告了模拟样本可以在多大程度上近似每种资产的经验样本。