[1F3-GS-10b] AI応用：経営情報

[1F3-GS-10b-04] Carry Trading Strategy with RM-CVaR Portfolio

〇Akio Ito¹, Kei Nakagawa¹ (1. NOMURA ASSET MANAGEMENT CO.,LTD.)

Keywords:Portfolio Management, RM-CVaR, Regularization

The carry trade strategy has received much attention under the global low interest rate environment.The carry trade strategy refers to a strategy that maximizes income gains such as dividends and interest, and can generate profits if the price fluctuation is smaller than the income gain.Many empirical analysis shows that although carry trade strategies have positive returns on average, they are known to produce very large losses (tail risk) with small probability.
Therefore, in this research, we construct a carry trade strategy using Conditional Value at Risk (CVaR), which is a risk measure for controlling tail risk, and aim to generate stable profits while suppressing tail risk.
To that end, we focus on the Regularized Multiple CVaR portfolio, which solves the instability of CVaR portfolio, and propose to introduce a carry level as an expected return. We perform the empirical study and confirm that the risk/return and tail risk are better than the baseline method.