石油価格と株式市場の相互影響を考慮した多変量時系列分析と最適ポートフォリオの構築

摘要

投資家にとって，市場における変動要因を特定し，投資リスクを最小化することは最も重要な課題である．近年見られる市場の不安定な値動きは，その投資戦略の大幅な見直しを迫っている．%In recent years, worldwide financial instability has caused various international issues. For instance, it is pointed out that the Euro-crisis has spread the financial instability to the other markets e. g. equity, oil, gold, etc. Thus, the interactions between the energy market and the financial market have become larger by the speculation factors. Thus, the investors are forced to identify the factors that drive market returns minimizing the investment risk. In this study, we employ the Vector Error Correction Model to identify the statistically significant relationships among financial indicators and energy market. We find 7 co-integration relationships in the 13 data series. Based on the VEC Model, we generate 100 simulation runs and then calculate the optimum investment strategy by the Maximizing Expected Value Model and the Minimizing Regret Value Model.