題  目：A Systemic risk-driven On-line Portfolio Allocation Updating Procedur

日  期：113年12月31日（星期二）

時  間：下午13:10開始

地  點：科學館S433

摘要Abstract:

This paper introduces an on-line mechanism for updating portfolio allocations driven by systemic risk, aiming to maximize both the average portfolio return and the modified information ratio (MIR). The proposed mechanism includes three systemic riskbased critical components: a novel real-time monitoring test based on multiple differenced (MD) principles to timely adjust allocations, two easy-to use momentum in vestment strategies, and two straightforward cross-asset risk-weighting schemes. We also propose a modified information ratio (MIR) for enhanced portfolio evaluation. Simulation results demonstrate that our moni toring test effectively minimizes size distortion and maintains robust power, reducing the impact of spurious breaks and correlations while mitigating losses from unnecessary portfolio adjustments. The practical application of this mechanism is validated through three global country-specific portfolios formed over the period from January 1994 to November 2023, encompassing several significant extreme events. Empirical findings reveal that the systemic risk could not be ignored in a portfolio selection procedure, because our updating procedure can achieve up to 50 % higher average portfolio returns when compared to existing procedures, while also delivering a superior modified information ratio.

KEYWORDS: real-time monitoring test, portfolio-updating procedure, systemic risk, crossasset momen-tum investment strategy and a cross-asset risk weighting approach.

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