Block bootstrap methods and the choice of stocks for the long run

DOI10.1080/14697688.2012.713115MaRDI QIDQ5397473zbMATH OpenOpenAlexFDO

Authors Philippe Cogneau, Valeri I. Zakamouline

Publication date 20 February 2014

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2012.713115

zbMATH Keywords

block bootstrapbootstraplong-runparameter estimationserial dependencetime series data

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Portfolio theory (91G10)

Recommendations

• Theoretical comparisons of block bootstrap methods
• On studentising and blocklength selection for the bootstrap on time series
• Block length selection in the bootstrap for time series
• On blocking rules for the bootstrap with dependent data
• Automatic Block-Length Selection for the Dependent Bootstrap

Cites work

• Are output fluctuations transitory?
• BIAS IN THE ESTIMATION OF AUTOCORRELATIONS
• Bootstrap methods: another look at the jackknife
• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• Matched-block bootstrap for dependent data
• On blocking rules for the bootstrap with dependent data
• Resampling a coverage pattern
• The jackknife and the bootstrap for general stationary observations
• The use of subseries values for estimating the variance of a general statistic from a stationary sequence

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(14)

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• Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies
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• Optimal performance of a tontine overlay subject to withdrawal constraints
• Across-time risk-aware strategies for outperforming a benchmark
• Neural network approach to portfolio optimization with leverage constraints: a case study on high inflation investment
• Optimal multi-period leverage-constrained portfolios: a neural network approach
• A Global-in-Time Neural Network Approach to Dynamic Portfolio Optimization
• Smart leverage? Rethinking the role of Leveraged Exchange Traded Funds in constructing portfolios to beat a benchmark

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