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Do crude oil futures still fuel portfolio performance?
Review of Financial Economics Pub Date : 2021-04-03 , DOI: 10.1002/rfe.1127
Anja Vinzelberg 1 , Benjamin R. Auer 1, 2, 3
Affiliation  

Motivated by significant changes in the dynamics of crude oil markets, we revisit the question of whether crude oil futures are a valuable addition to typical stock and bond portfolios. To answer this question, we use a mean-variance framework with established heuristic and classic weighting schemes and, in addition, derive optimal asset weights based on forward-looking estimates of expected returns (via univariate forecast combinations and multivariate LASSO regressions) and covariances (via DCC-GARCH and GO-GARCH models). We find that crude oil futures tend to be of limited benefit for investors. In recent data, their optimal weights are very low and they typically do not enhance out-of-sample portfolio performance. These findings hold in a variety of robustness checks with respect to different datasets, estimation windows, regression specifications, GARCH models, and transaction costs.

中文翻译:

原油期货是否仍会推动投资组合的表现?

受原油市场动态发生重大变化的推动,我们重新审视原油期货是否是典型股票和债券投资组合的有价值补充的问题。为了回答这个问题,我们使用了一个均值方差框架,其中包含已建立的启发式和经典加权方案,此外,基于预期回报的前瞻性估计(通过单变量预测组合和多变量 LASSO 回归)和协方差(通过 DCC-GARCH 和 GO-GARCH 模型)。我们发现原油期货对投资者的收益往往有限。在最近的数据中,它们的最佳权重非常低,并且通常不会增强样本外投资组合的表现。这些发现适用于不同数据集、估计窗口、
更新日期:2021-04-03
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