Optimal portfolio estimation for dependent financial returns with generalized empirical likelihood

DOI10.1155/2012/973173zbMath1248.91100OpenAlexW2067719688WikidataQ58697869 ScholiaQ58697869MaRDI QIDQ454470

Hiroaki Ogata

Publication date: 8 October 2012

Published in: Advances in Decision Sciences (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/8fa57ba345ebca4e9f7ed8025279790971b86c99

zbMATH Keywords

generalized empirical likelihoodoptimal portfolio weights

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items (1)

Frequency domain generalized empirical likelihood method

Cites Work

• Empirical likelihood ratio confidence regions
• Empirical likelihood and general estimating equations
• Empirical likelihood ratio confidence intervals for a single functional
• An Information-Theoretic Alternative to Generalized Method of Moments Estimation
• Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators

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