Optimal portfolios with end-of-period target

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

ULB Institutional Repository from ULB -- Universite Libre de Bruxelles

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. © 2012 Hiroshi Shiraishi et al.

Date: 2012
Note: SCOPUS: ar.j
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Published in: Advances in Decision Science (2012) v.2012

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