English, Article edition: STATISTICAL ESTIMATION OF OPTIMAL PORTFOLIOS FOR LOCALLY STATIONARY RETURNS OF ASSETS HIROSHI SHIRAISHI; MASANOBU TANIGUCHI

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/83364
Physical Description
  • article
Language
  • English

Edition details

Title
  • STATISTICAL ESTIMATION OF OPTIMAL PORTFOLIOS FOR LOCALLY STATIONARY RETURNS OF ASSETS
Author
  • HIROSHI SHIRAISHI
  • MASANOBU TANIGUCHI
Physical Description
  • article
Notes
  • This paper discusses the asymptotic property of estimators for optimal portfolios when the returns are vector-valued locally stationary processes. First, we derive the asymptotic distribution of a nonparametric portfolio estimator based on the kernel method. Optimal bandwidth and kernel function are given by minimizing the mean squares error of it. Next, assuming parametric models for non-Gaussian locally stationary processes, we prove the LAN theorem, and propose a parametric portfolio estimator Ä based on a quasi-maximum likelihood estimator. Then it is shown that Ä is asymptotically efficient based on the LAN. Numerical studies are provided to investigate the accuracy of the portfolio estimators parametrically and nonparametrically. They illuminate some interesting features of them.
  • Optimal portfolio, locally stationary process, locally asymptotic normality, asymptotic efficiency, kernel method
  • RePEc:wsi:ijtafx:v:10:y:2007:i:01:p:129-154
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment