Optimal portfolios with end-of-period target
Shiraishi, Hiroshi Ogata, Hiroaki Amano, Tomoyuki Valentin, Patilea Veredas, David Taniguchi, Masanobu
Shiraishi, Hiroshi
Ogata, Hiroaki
Amano, Tomoyuki
Valentin, Patilea
Veredas, David
Taniguchi, Masanobu
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Publication Type
Journal article
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Supervisor
Publication Year
2012
Journal
Advances in Decision Sciences
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1
Publication End page
14
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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.
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Accounting & Finance