Optimal portfolios with end-of-period target

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

研究成果: Article査読

抄録

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.

本文言語English
論文番号703465
ジャーナルAdvances in Decision Sciences
2012
DOI
出版ステータスPublished - 2012

ASJC Scopus subject areas

  • 決定科学(全般)
  • 統計学および確率
  • 計算数学
  • 応用数学

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