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文章基本信息

  • 标题:Optimal Portfolio Estimation for Dependent Financial Returns with Generalized Empirical Likelihood
  • 本地全文:下载
  • 作者:Hiroaki Ogata
  • 期刊名称:Advances in Decision Sciences
  • 印刷版ISSN:2090-3359
  • 电子版ISSN:2090-3367
  • 出版年度:2012
  • 卷号:2012
  • DOI:10.1155/2012/973173
  • 出版社:Hindawi Publishing Corporation
  • 摘要:This paper proposes to use the method of generalized empirical likelihood to find the optimal portfolio weights. The log-returns of assets are modeled by multivariate stationary processes rather than i.i.d. sequences. The variance of the portfolio is written by the spectral density matrix, and we seek the portfolio weights which minimize it.
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