STATISTICAL ESTIMATION OF OPTIMAL PORTFOLIOS FOR LOCALLY STATIONARY RETURNS OF ASSETS

DOI10.1142/S0219024907004093zbMath1291.91245MaRDI QIDQ3444868

Hiroshi Shiraishi, Masanobu Taniguchi

Publication date: 5 June 2007

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

asymptotic efficiencykernel methodoptimal portfoliolocally stationary processlocally asymptotic normality

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Non-Markovian processes: estimation (62M09) Portfolio theory (91G10)

Cites Work

• Unnamed Item
• The asymptotic distribution of the likelihood ratio for autoregressive time series with a regression trend
• Time series: theory and methods.
• A direct test for the mean variance efficiency of a portfolio.
• LAN theorem for non-Gaussian locally stationary processes and its applications
• Maximum likelihood estimation and model selection for locally stationary processes^∗