考虑高维相关结构的典型事实和可操作性, 本文构建了机制转换的动态等相关 (RS-DEC) 模型, 并给出了模型参数估计的步骤和大样本性质.RS-DEC模型不仅可以对高维资产建模, 而且能够刻画资产间相关结构突变和非对称的特征.实证考察了上交所97只股票的组合问题.RS-DEC模型具有很好的样本内拟合效果, 且平滑概率能提供相关结构变化的时点信息;与Na(i)ve (1/N) 策略相比, 基于Sharpe比和最小标准差的业绩评估标准, 样本外测试显示RS-DEC模型能改善资产配置的绩效, 显著性检验也支持了该结论.%Taking account of some stylized facts in correlation processes and feasible implementation, a new regime switching dynamic equicorrelation (RS-DEC) model is proposed. Estimate procedures and large sample properties are also provided. RS-DEC model not only deals with high-dimensional correlation, but also takes account for structure break and asymmetry in correlation. In empirical work, we examine the asset allocation on 97 stocks in the Shanghai Stock Exchange. Our model can provide a better fit in sample, and give the information for correlations structure break; Comparing with Na(i)ve strategy, under Sharpe ratio and minimum standard error criteria, the results show that our model can improve the out-of-sample performance, and significant tests support these conclusions.
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