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A Study on Risk-Based Investment Strategies and Asset Pricing Models

위험기반 투자전략과 가격결정모델에 대한 연구

  • 김혁수 (Hyuksoo Kim, 서강대학교 일반대학원)

초록

This dissertation presents four findings on risk-based investment strategies and asset pricing models. It examines the sensitivity of risk contributions in the risk parity strategy to estimation errors and proposes an enhanced risk parity strategy that consistently outperforms its competitors. Introducing a downside risk-scaling strategy, we present enhanced performance of risk-scaling strategy on underlying portfolios that are formed on the basis of low-risk anomaly. In asset pricing model estimation, we propose a new factor pricing model estimator which addresses cross-sectionally correlated pricing errors. This is achieved by formulating a new regularized minimization problem which is solved via an approximate algorithm. Moreover, we introduce an adversarial estimation approach that outperforms previous methods based on principal component analysis, especially in situations with limited explanatory power. Through these endeavors, we aim to provide valuable insights into risk-based investment and asset pricing model estimation.

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초록

본 논문은 위험기반 투자전략과 자산가격결정모델에 관한 네 가지 연구 결과를 제시한다. 우리는 추정 오차로 인해 발생하는 위험 패리티 전략의 위험 기여 민감성을 연구하며, 다른 위험 기반 전략들을 꾸준히 압도하는 향상된 위험 패리티 전략을 제안한다. 또한, 하방 위험 스케일링 전략을 제시하여, 저위험 이상현상을 기반으로 구성된 포트폴리오에 위험 스케일링 전략이 적용되었을 때 향상된 성능을 보인다는 것을 확인한다. 자산가격결정모델 추정에서는, 횡단면으로 상관된 가격 오차를 잘 다루기 위한 새로운 팩터 가격 모델 추정량을 제안한다. 이를 위해 우리는 새로운 정규화된 최소화 문제를 정의하고, 이 문제를 풀기 위한 새로운 근사 알고리즘을 제시한다. 또한, 기존의 주성분 분석 기반 방법을 능가하는 적대적 추정 접근법을 소개하며, 설명력이 제한된 상황에서 특히 뛰어난 성과를 나타냄을 보인다. 이러한 노력을 통해, 본 논문은 위험기반 투자 및 자산가격모델 추정에 대한 중요한 통찰을 제공하고자 한다.

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목차

1 Introduction 10
1.1 The Risk-Return Tradeoff 10
1.2 Contributions 13
2 Reduction of Estimation Error Impact in the Risk Parity Strategies 15
2.1 Related Works 16
2.2 Resampled Equal Risk Contribution Portfolios 19
2.2.1 Equal Risk Contribution Portfolios 19
2.2.2 Sensitivity of RP Portfolios 20
2.2.3 Resampling Method 23
2.2.4 Relationship between Concentration of Risk Contributions and Local Structure 30
2.3 Empirical Study 30
2.3.1 Competing Strategies 31
2.3.2 Out-of-Sample Performance Evaluations 33
2.3.3 Performance in Practice 38
3 Managing Downside Risk of Low-Risk Anomaly Portfolio 41
3.1 Related Works 43
3.2 The Downside Risk-Scaling Strategy for Low-Risk Investing 44
3.2.1 Downside Risk-Scaling 44
3.2.2 The Betting against Beta Strategy 46
3.3 Main Results 47
3.3.1 Experimental Setting 47
3.3.2 Source of Profits 49
3.3.3 Out-of-Sample Performance 51
3.3.4 Robustness Check 56
4 Principal Component Analysis for Cross-Sectionally Correlated Pricing Errors 60
4.1 Motivation 61
4.2 Related Work and Our Contributions 63
4.3 The Proposed Estimator of the K Factor Models 66
4.3.1 The Proposed Estimator and Minimization Problem 66
4.3.2 Optimization Algorithm based on the Alternating Least Squares 67
4.4 Experiments 69
5 Adversarial Estimation of Factor Pricing Model 72
5.1 Adversarial Factor Model Estimator 72
5.1.1 Proposed Estimator 74
5.2 Main Results 76
6 Conclusion 82
A Appendix for Chapter 4 84
A.1 Basic Facts 84
A.2 Derivations of the First-Order Optimality Conditions 86
A.3 Proof of Proposition 4.3.1 89
A.4 Numerical Properties for Larger Data Sets 91
References 94

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