Improved Dynamic Portfolio Selection Model with DCC-GARCH: Evidence from the U.S. Stock Market

As an important financial instrument in real market, the selection and management of portfolio has always been a significant hot issue field economics. This study collects data stocks daily returns US stock market to test whether DCC-GARCH model can improve performance return compared with original static when assumption fixed covariance matrix is relaxed. also compares improved that S&P500. The result shows obtained by dynamic outperform large margin. that, without taking into account transaction costs, effective way enhance traditional mean-variance fit predict using model.