TY - JOUR
T1 - Optimal portfolios with end-of-period target
AU - Shiraishi, Hiroshi
AU - Ogata, Hiroaki
AU - Amano, Tomoyuki
AU - Patilea, Valentin
AU - Veredas, David
AU - Taniguchi, Masanobu
N1 - Copyright:
Copyright 2012 Elsevier B.V., All rights reserved.
PY - 2012
Y1 - 2012
N2 - 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.
AB - 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.
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U2 - 10.1155/2012/703465
DO - 10.1155/2012/703465
M3 - Article
AN - SCOPUS:84858329373
VL - 2012
JO - Advances in Decision Sciences
JF - Advances in Decision Sciences
SN - 2090-3359
M1 - 703465
ER -