Optimal Portfolio Estimation for Dependent Financial Returns with Generalized Empirical Likelihood
Author
Source
Issue
Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-8, 8 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2012-07-01
Country of Publication
Egypt
No. of Pages
8
Main Subjects
Economics & Business Administration
Business Administration
Abstract EN
This paper proposes to use the method of generalized empirical likelihood to find the optimal portfolio weights.
The log-returns of assets are modeled by multivariate stationary processes rather than i.i.d.
sequences.
The variance of the portfolio is written by the spectral density matrix, and we seek the portfolio weights which minimize it.
American Psychological Association (APA)
Ogata, Hiroaki. 2012. Optimal Portfolio Estimation for Dependent Financial Returns with Generalized Empirical Likelihood. Advances in Decision Sciences،Vol. 2012, no. 2012, pp.1-8.
https://search.emarefa.net/detail/BIM-512638
Modern Language Association (MLA)
Ogata, Hiroaki. Optimal Portfolio Estimation for Dependent Financial Returns with Generalized Empirical Likelihood. Advances in Decision Sciences No. 2012 (2012), pp.1-8.
https://search.emarefa.net/detail/BIM-512638
American Medical Association (AMA)
Ogata, Hiroaki. Optimal Portfolio Estimation for Dependent Financial Returns with Generalized Empirical Likelihood. Advances in Decision Sciences. 2012. Vol. 2012, no. 2012, pp.1-8.
https://search.emarefa.net/detail/BIM-512638
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-512638