Optimal portfolios with end-of-period target

Hiroshi Shiraishi, Hiroaki Ogata, Tomoyuki Amano, Valentin Patilea, David Veredas, Masanobu Taniguchi

Research output: Contribution to journalArticle

Abstract

We study the estimation of optimal portfolios for a Reserve Fund with an end-of-period target and when the returns of the assets that constitute the Reserve Fund portfolio follow two specifications. In the first one, assets are split into short memory (bonds) and long memory (equity), and the optimality of the portfolio is based on maximizing the Sharpe ratio. In the second, returns follow a conditional heteroskedasticity autoregressive nonlinear model, and we study when the distribution of the innovation vector is heavy-tailed stable. For this specification, we consider appropriate estimation methods, which include bootstrap and empirical likelihood.

Original languageEnglish
Article number703465
JournalAdvances in Decision Sciences
Volume2012
DOIs
Publication statusPublished - 2012
Externally publishedYes

Fingerprint

Optimal Portfolio
Specification
Conditional Heteroskedasticity
Specifications
Data storage equipment
Target
Empirical Likelihood
Long Memory
Equity
Autoregressive Model
Bootstrap
Nonlinear Model
Optimality
Innovation
Assets
Optimal portfolio
Sharpe ratio
Autoregressive conditional heteroskedasticity
Long memory
Empirical likelihood

ASJC Scopus subject areas

  • Decision Sciences(all)
  • Applied Mathematics
  • Computational Mathematics
  • Statistics and Probability

Cite this

Shiraishi, H., Ogata, H., Amano, T., Patilea, V., Veredas, D., & Taniguchi, M. (2012). Optimal portfolios with end-of-period target. Advances in Decision Sciences, 2012, [703465]. https://doi.org/10.1155/2012/703465

Optimal portfolios with end-of-period target. / Shiraishi, Hiroshi; Ogata, Hiroaki; Amano, Tomoyuki; Patilea, Valentin; Veredas, David; Taniguchi, Masanobu.

In: Advances in Decision Sciences, Vol. 2012, 703465, 2012.

Research output: Contribution to journalArticle

Shiraishi, H, Ogata, H, Amano, T, Patilea, V, Veredas, D & Taniguchi, M 2012, 'Optimal portfolios with end-of-period target', Advances in Decision Sciences, vol. 2012, 703465. https://doi.org/10.1155/2012/703465
Shiraishi, Hiroshi ; Ogata, Hiroaki ; Amano, Tomoyuki ; Patilea, Valentin ; Veredas, David ; Taniguchi, Masanobu. / Optimal portfolios with end-of-period target. In: Advances in Decision Sciences. 2012 ; Vol. 2012.
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