| In 2019,the world economy has entered a downturn.Under the prevailing conditions of protectionism and industrial restructuring,the economic growth of traditional developed countries has slowed down significantly,while emerging developing countries with relatively weak economies have experienced negative growth or more.A severe financial crisis.The current escalation of Sino-US trade,coupled with tensions between the United States and Iran,are facing great uncertainty in the global economic outlook."Negative interest rates are tearing the entire world." "The central bank's control over the effectiveness of monetary policy under negative interest rates will be greatly reduced,which will also increase the uncertainty of the economic environment and increase the volatility and potential risks of the equity market." "In the current environment,the characteristics of value preservation and risk diversification of precious metals have become prominent,and the importance of investment portfolios has further increased during the volatile capital market." Therefore,investing in the precious metals market(investing in safe-haven assets such as gold and silver)and forming an investment portfolio have become two very sensible strategies to deal with the current increased risk.On this basis,this article attempts to focus on the research of account precious metals portfolio.After preliminary exploration of the current precious metal market,in recent years,with the increase in public interest in precious metals and continuous improvement of the market,palladium and platinum have gradually entered the horizons of investors.Industrial and Commercial Bank of China and China Construction Bank Investment products such as account precious metals have been launched one after another.In order to meet consumers' needs for investment portfolios,ICBC has launched account precious metal indexes.Because the portfolio has just started,the ratio between the elements is fixed,mainly common safe-haven assets,gold,but in recent years,palladium and silver have basically risen sharply.According to the data of the gold investment network,palladium Gold increased by 17% in 2019,becoming the most promising commodity among the four precious metals,which is sufficient to show that the investment value of palladium is increasing,and it only accounts for 5% of the precious metal portfolio of ICBC,and fixed Ratio,so it can be seen that its matching weight is not optimal.At this time,the optimization of precious metals portfolio becomes extremely important.From an academic perspective,the study of this issue faces three major issues.The first is that portfolio optimization requires a suitable objective function.The common Markovitz portfolio theory has too many assumptions,which has a great constraint on the research of practical problems.In response,scholars Yang Nan and Qiu Liying(2012)provided new ideas for this research on the "optimal structure of international reserve assets".Combining risks and returns introduced two effects functions,Cobb Douglas and linear.The best weight of gold in international reserves is obtained,so this article attempts to introduce two utility functions to optimize the combination;the second is to measure the risk,this article uses VaR as a measurement index,but because of the complexity between the four precious metals Therefore,how to characterize the non-linear correlation between the combined elements is particularly important.Liu Xiangdong and Wu Yuxuan(2017)used the mixed Copula function to accurately characterize the non-linear correlation between the four industry indexes and calculate The VaR value of the portfolio is calculated.The third is the calculation of the optimal weight.This article attempts to calculate the VaR of the portfolio by Monte Carlo simulation method,combining the returns,setting a reasonable step size and iteratively finding the optimal portfolio structure.This paper sets a reasonable utility function,uses the GARCH model and extreme value theory to accurately fit the edge distribution of peaks and thick tails.The hybrid Copula function is used to take all kinds of symmetry and tail correlations into account.The combination is calculated by Monte Carlo method.The optimal VaR value is then combined with the utility function to obtain the optimal precious metal investment portfolio.For investors,the optimal combination can provide suggestions for short-term adjustment of positions.In this method,a window is set and the weight is changed regularly to maximize the investment utility.For the trading platform,it can also be a follow-up for ICBC.The index weighting provides a reasonable research method.In a theoretical sense,for the subsequent risk measurement between precious metal combinations,a correlation study provides an idea and method.The difference between this article and the existing literature is reflected in the two aspects of the research object and method: In terms of research objects,few previous literatures have studied the risks and structural optimization of the four combinations of gold,silver,platinum,and palladium.Most of them focus on gold and silver or gold and gold.The relationship between petroleum and foreign exchange,so this article considers all four precious metal elements.In terms of research methods,the hybrid Copula function and Monte Carlo method are used to find the optimal weight.The selection of the utility function is not lossy in general,and different risk audiences are considered.At the same time,the in-sample test also makes the model more complete and the analysis conclusions more Persuasive. |
PDF Full Text Request