Optimal portfolio estimation for dependent financial returns with generalized empirical likelihood (Q454470): Difference between revisions
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Latest revision as of 17:40, 5 July 2024
scientific article
| Language | Label | Description | Also known as |
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| English | Optimal portfolio estimation for dependent financial returns with generalized empirical likelihood |
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Optimal portfolio estimation for dependent financial returns with generalized empirical likelihood (English)
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8 October 2012
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Summary: We propose 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.
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generalized empirical likelihood
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optimal portfolio weights
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