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Statistically Efficient Construction of α-Risk-Minimizing Portfolio
Joint Authors
Taniai, Hiroyuki
Shiohama, Takayuki
Source
Issue
Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-17, 17 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2012-06-19
Country of Publication
Egypt
No. of Pages
17
Main Subjects
Economics & Business Administration
Business Administration
Abstract EN
We propose a semiparametrically efficient estimator for α-risk-minimizing portfolio weights.
Based on the work of Bassett et al.
(2004), an α-risk-minimizing portfolio optimization is formulated as a linear quantile regression problem.
The quantile regression method uses a pseudolikelihood based on an asymmetric Laplace reference density, and asymptotic properties such as consistency and asymptotic normality are obtained.
We apply the results of Hallin et al.
(2008) to the problem of constructing α-risk-minimizing portfolios using residual signs and ranks and a general reference density.
Monte Carlo simulations assess the performance of the proposed method.
Empirical applications are also investigated.
American Psychological Association (APA)
Taniai, Hiroyuki& Shiohama, Takayuki. 2012. Statistically Efficient Construction of α-Risk-Minimizing Portfolio. Advances in Decision Sciences،Vol. 2012, no. 2012, pp.1-17.
https://search.emarefa.net/detail/BIM-513183
Modern Language Association (MLA)
Taniai, Hiroyuki& Shiohama, Takayuki. Statistically Efficient Construction of α-Risk-Minimizing Portfolio. Advances in Decision Sciences No. 2012 (2012), pp.1-17.
https://search.emarefa.net/detail/BIM-513183
American Medical Association (AMA)
Taniai, Hiroyuki& Shiohama, Takayuki. Statistically Efficient Construction of α-Risk-Minimizing Portfolio. Advances in Decision Sciences. 2012. Vol. 2012, no. 2012, pp.1-17.
https://search.emarefa.net/detail/BIM-513183
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-513183