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Niveau: Supérieur

“Outliers Correction and Distributional Timing of Higher Moments for Robust Asset Allocations”? Bertrand Maillet† Paul Merlin‡ June 2010 Abstract We propose a new methodology for abnormal return detection and correction, and evaluate the economic impacts of outliers on asset allocations with higher-order mo- ments (Cf. Maillet and Merlin, 2010). Indeed, extreme returns and outliers greatly affect empirical higher-order moment estimations (Cf. Kim and White, 2004). We thus extend the outlier detection procedures of Franses and Ghijsels (1999) and Charles and Darne (2005) with an Artificial Neural Network - GARCH model (Cf. Donaldson and Kamstra, 1997). The proposed method for deletion and correction of outliers, cou- pled with the use of a robust approach based on higher-order L-moments, clearly show some improvements of the portfolio allocation performance in the French stock market. Keywords: ANN-GARCH, Higher-order Moment, Asset Allocation. JEL Classification: C14, C15. ?We are grateful to Christophe Boucher, Thierry Chauveau, Jean-Philippe Medecin, Thierry Michel for help and encourage- ment in preparing this work. We herein acknowledge Patrick Kouontchou and Ghislain Yanou for excellent preliminary research assistance and active participation in earlier versions, as well as Amelie Charles who initiated a previous joint project on the very same subject.

“Outliers Correction and Distributional Timing of Higher Moments for Robust Asset Allocations”? Bertrand Maillet† Paul Merlin‡ June 2010 Abstract We propose a new methodology for abnormal return detection and correction, and evaluate the economic impacts of outliers on asset allocations with higher-order mo- ments (Cf. Maillet and Merlin, 2010). Indeed, extreme returns and outliers greatly affect empirical higher-order moment estimations (Cf. Kim and White, 2004). We thus extend the outlier detection procedures of Franses and Ghijsels (1999) and Charles and Darne (2005) with an Artificial Neural Network - GARCH model (Cf. Donaldson and Kamstra, 1997). The proposed method for deletion and correction of outliers, cou- pled with the use of a robust approach based on higher-order L-moments, clearly show some improvements of the portfolio allocation performance in the French stock market. Keywords: ANN-GARCH, Higher-order Moment, Asset Allocation. JEL Classification: C14, C15. ?We are grateful to Christophe Boucher, Thierry Chauveau, Jean-Philippe Medecin, Thierry Michel for help and encourage- ment in preparing this work. We herein acknowledge Patrick Kouontchou and Ghislain Yanou for excellent preliminary research assistance and active participation in earlier versions, as well as Amelie Charles who initiated a previous joint project on the very same subject.

- robust asset
- outlier detection
- order moment
- higher
- model followed
- approach applied
- ann-garch

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Published by | profil-nechor-2012 |

Reads | 69 |

Language | English |

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