Statistical portfolio estimation under the utility function depending on exogenous variables

DOI10.1155/2012/127571MaRDI QIDQ764799zbMATH OpenOpenAlexWikidataFDO

Authors Kenta Hamada, Dong Wei Ye, Masanobu Taniguchi

Publication date 14 March 2012

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

Copyright license Creative Commons Attribution 4.0 International

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

Mathematics Subject Classification ID

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

Review text

Summary: In the estimation of portfolios, it is natural to assume that the utility function depends on exogenous variable. From this point of view, in this paper, we develop the estimation under the utility function depending on exogenous variable. To estimate the optimal portfolio, we introduce a function of moments of the return process and cumulant between the return processes and exogenous variable, where the function means a generalized version of portfolio weight function. First, assuming that exogenous variable is a random process, we derive the asymptotic distribution of the sample version of portfolio weight function. Then, an influence of exogenous variable on the return process is illuminated when exogenous variable has a shot noise in the frequency domain. Second, assuming that exogenous variable is nonstochastic, we derive the asymptotic distribution of the sample version of portfolio weight function. Then, an influence of exogenous variable on the return process is illuminated when exogenous variable has a harmonic trend. We also evaluate the influence of exogenous variable on the return process numerically.

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• On the exact distribution of the estimated expected utility portfolio weights: theory and applications
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Cites work

• scientific article; zbMATH DE number 3765004 (Why is no real title available?)
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Cited in

(4)

• STATISTICAL ESTIMATION OF OPTIMAL PORTFOLIOS FOR LOCALLY STATIONARY RETURNS OF ASSETS
• Optimal portfolio estimation for dependent financial returns with generalized empirical likelihood
• scientific article; zbMATH DE number 6177832 (Why is no real title available?)
• scientific article; zbMATH DE number 6766521 (Why is no real title available?)

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