Optimal portfolios with end-of-period target

Hiroshi Shiraishi, Hiroaki Ogata, Tomoyuki Amano, Valentin Patilea, David Veredas, Masanobu Taniguchi

    Research output: Contribution to journalArticle

    Abstract

    We study the estimation of optimal portfolios for a Reserve Fund with an end-of-period target and when the returns of the assets that constitute the Reserve Fund portfolio follow two specifications. In the first one, assets are split into short memory (bonds) and long memory (equity), and the optimality of the portfolio is based on maximizing the Sharpe ratio. In the second, returns follow a conditional heteroskedasticity autoregressive nonlinear model, and we study when the distribution of the innovation vector is heavy-tailed stable. For this specification, we consider appropriate estimation methods, which include bootstrap and empirical likelihood.

    Original languageEnglish
    Article number703465
    JournalAdvances in Decision Sciences
    Volume2012
    DOIs
    Publication statusPublished - 2012

    Fingerprint

    Optimal Portfolio
    Specification
    Conditional Heteroskedasticity
    Specifications
    Data storage equipment
    Target
    Empirical Likelihood
    Long Memory
    Equity
    Autoregressive Model
    Bootstrap
    Nonlinear Model
    Optimality
    Innovation
    Optimal portfolio
    Assets
    Empirical likelihood
    Sharpe ratio
    Autoregressive conditional heteroskedasticity
    Long memory

    ASJC Scopus subject areas

    • Decision Sciences(all)
    • Applied Mathematics
    • Computational Mathematics
    • Statistics and Probability

    Cite this

    Shiraishi, H., Ogata, H., Amano, T., Patilea, V., Veredas, D., & Taniguchi, M. (2012). Optimal portfolios with end-of-period target. Advances in Decision Sciences, 2012, [703465]. https://doi.org/10.1155/2012/703465

    Optimal portfolios with end-of-period target. / Shiraishi, Hiroshi; Ogata, Hiroaki; Amano, Tomoyuki; Patilea, Valentin; Veredas, David; Taniguchi, Masanobu.

    In: Advances in Decision Sciences, Vol. 2012, 703465, 2012.

    Research output: Contribution to journalArticle

    Shiraishi, H, Ogata, H, Amano, T, Patilea, V, Veredas, D & Taniguchi, M 2012, 'Optimal portfolios with end-of-period target', Advances in Decision Sciences, vol. 2012, 703465. https://doi.org/10.1155/2012/703465
    Shiraishi, Hiroshi ; Ogata, Hiroaki ; Amano, Tomoyuki ; Patilea, Valentin ; Veredas, David ; Taniguchi, Masanobu. / Optimal portfolios with end-of-period target. In: Advances in Decision Sciences. 2012 ; Vol. 2012.
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