STATISTICAL ESTIMATION OF OPTIMAL PORTFOLIOS FOR LOCALLY STATIONARY RETURNS OF ASSETS
type: Item
instance of: scholarly article
title: STATISTICAL ESTIMATION OF OPTIMAL PORTFOLIOS FOR LOCALLY STATIONARY RETURNS OF ASSETS
zbMATH Open document ID: 1291.91245
DOI: 10.1142/S0219024907004093
author: Hiroshi Shiraishi
author: Masanobu Taniguchi
published in: International Journal of Theoretical and Applied Finance
publication date: 2007-06-05T00:00:00Z
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62M09
zbMATH DE Number: 5161546
zbMATH Keywords: optimal portfolio
zbMATH Keywords: locally stationary process
zbMATH Keywords: locally asymptotic normality
zbMATH Keywords: asymptotic efficiency
zbMATH Keywords: kernel method
MaRDI profile type: MaRDI publication profile
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cites work: Time series: theory and methods.
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cites work: Maximum likelihood estimation and model selection for locally stationary processes∗
cites work: LAN theorem for non-Gaussian locally stationary processes and its applications
cites work: The asymptotic distribution of the likelihood ratio for autoregressive time series with a regression trend
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description: scientific article; zbMATH DE number 5161546