A kernel density estimation-maximum likelihood approach to risk analysis of portfolio

Junzo Watada

    Research output: Chapter in Book/Report/Conference proceedingConference contribution

    Abstract

    Nowadays one of the most studied issues in economic or finance field is to get the best possible return with the minimum risk. Therefore, the objective of the paper is to select the optimal investment portfolio from SP500 stock market and CBOE Interest Rate 10-Year Bond to obtain the minimum risk in the financial market.

    Original languageEnglish
    Title of host publication2013 IEEE 8th International Symposium on Intelligent Signal Processing, WISP 2013 - Proceedings
    PublisherIEEE Computer Society
    Pages37-42
    Number of pages6
    ISBN (Print)9781467345439
    DOIs
    Publication statusPublished - 2013
    Event2013 IEEE 8th International Symposium on Intelligent Signal Processing, WISP 2013 - Funchal, Madeira
    Duration: 2013 Sep 162013 Sep 18

    Other

    Other2013 IEEE 8th International Symposium on Intelligent Signal Processing, WISP 2013
    CityFunchal, Madeira
    Period13/9/1613/9/18

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    Keywords

    • confidence interval
    • expected value
    • fuzzy random variable
    • Fuzzy regression model
    • variance

    ASJC Scopus subject areas

    • Artificial Intelligence
    • Signal Processing

    Cite this

    Watada, J. (2013). A kernel density estimation-maximum likelihood approach to risk analysis of portfolio. In 2013 IEEE 8th International Symposium on Intelligent Signal Processing, WISP 2013 - Proceedings (pp. 37-42). [6657479] IEEE Computer Society. https://doi.org/10.1109/WISP.2013.6657479