A Simulation Approach to Statistical Estimation of Multiperiod Optimal Portfolios
Author
Source
Issue
Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-13, 13 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2012-06-05
Country of Publication
Egypt
No. of Pages
13
Main Subjects
Economics & Business Administration
Business Administration
Abstract 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.
American Psychological Association (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
Modern Language Association (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
American Medical Association (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
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-464230