Research On Active Portfolio Management Model With Systematic Skewness Constraint

Portfolio management has been a major project of financial institutions and academic world.Under different market hypothesis,there are two forms of investment,passive and active investment.The passive portfolio management assumes that the market is efficient,investors can reach their investment goals with simply diversifying their assets tracking to market portfolio.However,many empirical researches demonstrate that market is not entirely efficient.Active portfolio management assumes that there are incorrect pricing securities in the capital market.In order to outperform the benchmark and get the excess return,active portfolio managers often involve the goal of selecting a portfolio with tracking to the benchmark through stock selecting and market timing.In the area of portfolio selection problem,one critical model is mean-TEV model,based on this model,scholars study on the active portfolio management in different aspect with adding constraint conditions into this model.With the foundation of this research,from other point of view,I take systematic skewness into constraint,that is consider higher-order moments of assets' return and the properties of leptokurtosis and heavy tails of financial assets' return when constructing portfolio selection model.Most literatures show that financial assets return are often asymmetry and disastrous event would occurred if ignore left tail risks from skewed distribution,systematic skewness is available to capture asymmetry of financial assets return.Therefore,it is of significant to take systematic skewness into consideration in active portfolio management.Based on the mean-TEV model,I propose a new active portfolio management model called systematic skewness constraint tracking error variance(S-TEV)model.I investigate portfolio selection within a framework of the mean-TEV model,derive the optimal weights of portfolio and portfolio frontier,analyze the characteristics of the portfolio frontier.Furthermore,I analyze the efficiency losses of S-TEV model and discuss how to reduce efficiency losses.Finally,I empirically compare the performance of systematic skewness constraint portfolio with benchmark portfolio and market index,and compare performance of S-TEV model with other models.The results show that a suitable selected systematic skewness constraint make accumulate return of portfolio in my model outperform benchmark portfolio and market index.Systematic skewness constraint make a better accumulate return than M-V model and mean-TEV model.