Optimal portfolio estimation for dependent financial returns with generalized empirical likelihood

DOI10.1155/2012/973173MaRDI QIDQ454470zbMATH OpenOpenAlexWikidataFDO

Authors Hiroaki Ogata

Publication date 8 October 2012

Published in Advances in Decision Sciences (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://semanticscholar.org/paper/8fa57ba345ebca4e9f7ed8025279790971b86c99

zbMATH Keywords

generalized empirical likelihoodoptimal portfolio weights

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Statistical methods; risk measures (91G70)

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.

Recommendations

• Statistical estimation of optimal portfolios for Gaussian dependent returns of assets
• Estimation of optimal portfolio compositions for Gaussian returns
• Portfolio optimization based on stochastic dominance and empirical likelihood
• Statistical properties of estimators for the log-optimal portfolio
• Statistical inference of the efficient frontier for dependent asset returns
• STATISTICAL ESTIMATION OF OPTIMAL PORTFOLIOS FOR LOCALLY STATIONARY RETURNS OF ASSETS
• On allocations to portfolios of assets with statistically dependent potential risk returns
• Statistical portfolio estimation under the utility function depending on exogenous variables
• Finite Sample Properties of Estimators for the Optimal Portfolio Weight

Cites work

• An Information-Theoretic Alternative to Generalized Method of Moments Estimation
• Empirical likelihood and general estimating equations
• Empirical likelihood ratio confidence intervals for a single functional
• Empirical likelihood ratio confidence regions
• Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators

Cited in

(8)

• STATISTICAL ESTIMATION OF OPTIMAL PORTFOLIOS FOR LOCALLY STATIONARY RETURNS OF ASSETS
• Estimation of optimal portfolio compositions for Gaussian returns
• Zur optimalen schätzung des strukturparameters eines kollektivs einander ähnlicher kleiner bestände
• Frequency domain generalized empirical likelihood method
• Statistical properties of a two dimensional optimal portfolio
• Statistical estimation of optimal portfolios for Gaussian dependent returns of assets
• Statistical portfolio estimation under the utility function depending on exogenous variables
• Optimal portfolios with end-of-period target

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