On the State Variables for Optimal Portfolio Strategies in the Japanese Market

Shoji Kamimura
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Shoji Kamimura: International School of Economics and Business Administration, Reitaku University, 2-1-1, Hikarigaoka, Kashiwa-shi, Chiba-ken, 277-8686, Japan

Chapter 6 in Recent Advances in Financial Engineering 2010, 2011, pp 105-117 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractIn this paper we study conditional portfolio optimization problems when the conditional moments of returns are predictable. Our purpose is to investigate which state variables are statistically significant for the portfolio strategy in the Japanese market. By parametrizing the portfolio strategy, we transform the conditional problem into the unconditional problem and formulate the problem as a statistical estimation problem. This helps us determine the state variables which we should focus on.

Keywords: Operations Research; Financial Engineering; Management; Mathematical Modeling; Credit Risk; Real Options; Optimal Investment; Heterogeneous Beliefs (search for similar items in EconPapers)
Date: 2011
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