Portfolio Selection via High-Dimensional D-Vine Copula-MIDAS Method

WANG Weiqing, LI Yuqing, WANG Liukai, LI Mengting, FU Zeyi

Journal of Systems Science and Mathematical Sciences ›› 2025, Vol. 45 ›› Issue (2) : 376-397.

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Journal of Systems Science and Mathematical Sciences ›› 2025, Vol. 45 ›› Issue (2) : 376-397. DOI: 10.12341/jssms23910

Portfolio Selection via High-Dimensional D-Vine Copula-MIDAS Method

  • WANG Weiqing1, LI Yuqing1, WANG Liukai1, LI Mengting2, FU Zeyi1
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Abstract

Considering the impact of mixed information for high-dimensional portfolios, this paper introduces the idea of mixed information extraction under the Vine Copula framework, substitutes the mixed data sampling model MIDAS into high-dimensional D-Vine Copula, and proposes a CVaR portfolio selection model based on high-dimensional D-Vine Copula-MIDAS, so as to simultaneously address the challenges of “dimension disaster” and “insufficient mixed information extraction” under the framework of Copula. Firstly, estimate the multivariate conditional joint distribution of assets based on the high-dimensional D-Vine Copula-MIDAS model; Secondly, simulate the dynamic features of assets returns based on the estimated joint distribution. Finally, the optimal investment weight of the assets is obtained by minimizing CVaR, thereby establishing a minimum CVaR portfolio selection model. This paper selects 7 stocks on the Chinese new energy market for empirical studies, and the results show that the CVaR portfolio selection model based on high-dimensional D-Vine Copula-MIDAS can fully reveal and simulate the dynamic features of financial assets returns and obtain lower investment risks.

Key words

Portfolio selection / high-dimensional D-Vine Copula-MIDAS / minimum-CVaR model / stock dependence / new energy market

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WANG Weiqing , LI Yuqing , WANG Liukai , LI Mengting , FU Zeyi. Portfolio Selection via High-Dimensional D-Vine Copula-MIDAS Method. Journal of Systems Science and Mathematical Sciences, 2025, 45(2): 376-397 https://doi.org/10.12341/jssms23910

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