Optimal Portfolio Estimation for Dependent Financial Returns with Generalized Empirical Likelihood | Zendy

Hiroaki Ogata | Zendy

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Optimal Portfolio Estimation for Dependent Financial Returns with Generalized Empirical Likelihood

Author(s) -

Hiroaki Ogata

Publication year - 2012

Publication title -

advances in decision sciences

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.178

H-Index - 13

eISSN - 2090-3367

pISSN - 2090-3359

DOI - 10.1155/2012/973173

Subject(s) - portfolio , econometrics , portfolio optimization , black–litterman model , variance (accounting) , modern portfolio theory , multivariate statistics , economics , mathematics , covariance matrix , maximum likelihood , replicating portfolio , statistics , financial economics , accounting

This paper proposes to use the method of generalized empiricallikelihood to find the optimal portfolio weights. The log-returns ofassets are modeled by multivariate stationary processes rather thani.i.d. sequences. The variance of the portfolio is written by the spectraldensity matrix, and we seek the portfolio weights which minimize it

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