Optimal portfolio estimation for dependent financial returns with generalized empirical likelihood

DOI10.1155/2012/973173MaRDI QIDQ454470zbMATHOpenAlexWikidataFDO

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

zbMATH Keywords

generalized empirical likelihoodoptimal portfolio weights

Mathematics Subject Classification ID

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

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

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