Optimal portfolio estimation for dependent financial returns with generalized empirical likelihood
Optimal portfolio estimation for dependent financial returns with generalized empirical likelihood
复制标题
具有广义经验可能性的相关财务回报的最优投资组合估计
DOI：
10.1155/2012/973173
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发表时间：
2012
影响因子：
--
通讯作者：
H
中科院分区：
文献类型：
--
作者：
Ogata;H
本文提出用广义经验似然法来寻找最优投资组合权重。资产的对数收益率是用多元平稳过程而不是iid序列来建模的。投资组合的方差由谱密度矩阵表示，我们寻求使其最小化的投资组合权重。
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 iid sequences. The variance of the portfolio is written by the spectral density matrix, and we seek the portfolio weights which minimize it.