Optimal portfolio estimation for dependent financial returns with generalized empirical likelihood
DOI10.1155/2012/973173zbMATH Open1248.91100OpenAlexW2067719688WikidataQ58697869 ScholiaQ58697869MaRDI QIDQ454470FDOQ454470
Authors: Hiroaki Ogata 
Publication date: 8 October 2012
Published in: Advances in Decision Sciences (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/8fa57ba345ebca4e9f7ed8025279790971b86c99
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Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)
Cites Work
- Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
- Empirical likelihood ratio confidence regions
- Empirical likelihood and general estimating equations
- Empirical likelihood ratio confidence intervals for a single functional
- An Information-Theoretic Alternative to Generalized Method of Moments Estimation
Cited In (8)
- Frequency domain generalized empirical likelihood method
- STATISTICAL ESTIMATION OF OPTIMAL PORTFOLIOS FOR LOCALLY STATIONARY RETURNS OF ASSETS
- Statistical portfolio estimation under the utility function depending on exogenous variables
- Zur optimalen schätzung des strukturparameters eines kollektivs einander ähnlicher kleiner bestände
- Estimation of optimal portfolio compositions for Gaussian returns
- Optimal portfolios with end-of-period target
- Statistical properties of a two dimensional optimal portfolio
- Statistical estimation of optimal portfolios for Gaussian dependent returns of assets
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