A Simulation Approach to Statistical Estimation of Multiperiod Optimal Portfolios

المؤلف

Shiraishi, Hiroshi

المصدر

Advances in Decision Sciences

العدد

المجلد 2012، العدد 2012 (31 ديسمبر/كانون الأول 2012)، ص ص. 1-13، 13ص.

الناشر

Hindawi Publishing Corporation

تاريخ النشر

2012-06-05

دولة النشر

مصر

عدد الصفحات

13

التخصصات الرئيسية

العلوم الاقتصادية والمالية وإدارة الأعمال
إدارة الأعمال

الملخص EN

This paper discusses a simulation-based method for solving discrete-time multiperiod portfolio choice problems under AR(1) process.

The method is applicable even if the distributions of return processes are unknown.

We first generate simulation sample paths of the random returns by using AR bootstrap.

Then, for each sample path and each investment time, we obtain an optimal portfolio estimator, which optimizes a constant relative risk aversion (CRRA) utility function.

When an investor considers an optimal investment strategy with portfolio rebalancing, it is convenient to introduce a value function.

The most important difference between single-period portfolio choice problems and multiperiod ones is that the value function is time dependent.

Our method takes care of the time dependency by using bootstrapped sample paths.

Numerical studies are provided to examine the validity of our method.

The result shows the necessity to take care of the time dependency of the value function.

نمط استشهاد جمعية علماء النفس الأمريكية (APA)

Shiraishi, Hiroshi. 2012. A Simulation Approach to Statistical Estimation of Multiperiod Optimal Portfolios. Advances in Decision Sciences،Vol. 2012, no. 2012, pp.1-13.
https://search.emarefa.net/detail/BIM-464230

نمط استشهاد الجمعية الأمريكية للغات الحديثة (MLA)

Shiraishi, Hiroshi. A Simulation Approach to Statistical Estimation of Multiperiod Optimal Portfolios. Advances in Decision Sciences No. 2012 (2012), pp.1-13.
https://search.emarefa.net/detail/BIM-464230

نمط استشهاد الجمعية الطبية الأمريكية (AMA)

Shiraishi, Hiroshi. A Simulation Approach to Statistical Estimation of Multiperiod Optimal Portfolios. Advances in Decision Sciences. 2012. Vol. 2012, no. 2012, pp.1-13.
https://search.emarefa.net/detail/BIM-464230

نوع البيانات

مقالات

لغة النص

الإنجليزية

الملاحظات

Includes bibliographical references

رقم السجل

BIM-464230