Recommendations
- STATISTICAL ESTIMATION OF OPTIMAL PORTFOLIOS FOR LOCALLY STATIONARY RETURNS OF ASSETS
- Optimal portfolio estimation for dependent financial returns with generalized empirical likelihood
- Statistical estimation of optimal portfolios for Gaussian dependent returns of assets
- Portfolio selection in the presence of heavy-tailed asset returns
- Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data
Cites work
- scientific article; zbMATH DE number 3711181 (Why is no real title available?)
- scientific article; zbMATH DE number 2101242 (Why is no real title available?)
- scientific article; zbMATH DE number 847242 (Why is no real title available?)
- Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
- Empirical Characteristic Function Estimation and Its Applications
- Empirical likelihood
- Empirical likelihood and general estimating equations
- Empirical likelihood ratio confidence intervals for a single functional
- Jackknife, bootstrap and other resampling methods in regression analysis
- Numerical calculation of stable densities and distribution functions
- Sieve bootstrap for time series
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