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- W4307184950 abstract "As an important financial instrument in real financial market, the selection and management of portfolio has always been a significant and hot issue in the field of economics. This study collects data of stocks daily returns in the real US stock market to test whether DCC-GARCH model can improve the performance of portfolio return compared with the original static model when the assumption of fixed covariance matrix is relaxed. This study also compares the performance of improved portfolio with that of S&P500. The result shows that portfolio returns obtained by the dynamic model outperform the original static portfolio and market performance by a large margin. This shows that, without taking into account transaction costs, an effective way to enhance the traditional mean-variance model is to fit and predict the dynamic covariance using DCC-GARCH model." @default.
- W4307184950 created "2022-10-29" @default.
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- W4307184950 date "2022-10-24" @default.
- W4307184950 modified "2023-10-14" @default.
- W4307184950 title "Improved Dynamic Portfolio Selection Model with DCC-GARCH: Evidence from the U.S. Stock Market" @default.
- W4307184950 doi "https://doi.org/10.54691/bcpbm.v30i.2418" @default.
- W4307184950 hasPublicationYear "2022" @default.
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