Statistical portfolio estimation under the utility function depending on exogenous variables

DOI10.1155/2012/127571zbMATH Open1233.91325OpenAlexW2062699080WikidataQ58697756 ScholiaQ58697756MaRDI QIDQ764799FDOQ764799

Authors: Kenta Hamada, Dong Wei Ye, Masanobu Taniguchi 

Publication date: 14 March 2012

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

Full work available at URL: https://semanticscholar.org/paper/2cad43fdd1451ae26cb8d33c9641cc2e12b879bd

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Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Cites Work

• Title not available (Why is that?)
• On estimation of the integrals of the fourth order cumulant spectral density
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• Limiting behavior of functionals of higher-order sample cumulant spectra
• Statistical estimation in generalized multiparameter likelihood models

Cited In (4)

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• Optimal portfolio estimation for dependent financial returns with generalized empirical likelihood
• Title not available (Why is that?)
• Title not available (Why is that?)

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