Optimal portfolio estimation for dependent financial returns with generalized empirical likelihood (Q454470): Difference between revisions
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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. | |||
| Property / review text: 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. / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G70 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G10 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 62P05 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6092154 / rank | |||
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| Property / zbMATH Keywords | |||
generalized empirical likelihood | |||
| Property / zbMATH Keywords: generalized empirical likelihood / rank | |||
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| Property / zbMATH Keywords | |||
optimal portfolio weights | |||
| Property / zbMATH Keywords: optimal portfolio weights / rank | |||
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Revision as of 11:15, 30 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal portfolio estimation for dependent financial returns with generalized empirical likelihood |
scientific article |
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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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