Optimal Portfolios with End-of-Period Target
Joint Authors
Ogata, Hiroaki
Shiraishi, Hiroshi
Veredas, David
Amano, Tomoyuki
Patilea, Valentin
Taniguchi, Masanobu
Source
Issue
Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-13, 13 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2012-01-26
Country of Publication
Egypt
No. of Pages
13
Main Subjects
Economics & Business Administration
Business Administration
Abstract EN
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.
American Psychological Association (APA)
Shiraishi, Hiroshi& Ogata, Hiroaki& Amano, Tomoyuki& Patilea, Valentin& Veredas, David& Taniguchi, Masanobu. 2012. Optimal Portfolios with End-of-Period Target. Advances in Decision Sciences،Vol. 2012, no. 2012, pp.1-13.
https://search.emarefa.net/detail/BIM-491818
Modern Language Association (MLA)
Shiraishi, Hiroshi…[et al.]. Optimal Portfolios with End-of-Period Target. Advances in Decision Sciences No. 2012 (2012), pp.1-13.
https://search.emarefa.net/detail/BIM-491818
American Medical Association (AMA)
Shiraishi, Hiroshi& Ogata, Hiroaki& Amano, Tomoyuki& Patilea, Valentin& Veredas, David& Taniguchi, Masanobu. Optimal Portfolios with End-of-Period Target. Advances in Decision Sciences. 2012. Vol. 2012, no. 2012, pp.1-13.
https://search.emarefa.net/detail/BIM-491818
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-491818