Optimal portfolios with end-of-period target
Masanobu Taniguchi and
David Veredas ()
ULB Institutional Repository from ULB -- Universite Libre de Bruxelles
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. © 2012 Hiroshi Shiraishi et al.
Note: SCOPUS: ar.j
References: Add references at CitEc
Citations: Track citations by RSS feed
Published in: Advances in Decision Science (2012) v.2012
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ulb:ulbeco:2013/136660
Ordering information: This working paper can be ordered from
http://hdl.handle.ne ... lb.ac.be:2013/136660
Access Statistics for this paper
More papers in ULB Institutional Repository from ULB -- Universite Libre de Bruxelles Contact information at EDIRC.
Bibliographic data for series maintained by Benoit Pauwels ().