Statistical portfolio estimation under the utility function depending on exogenous variables

DOI10.1155/2012/127571zbMath1233.91325OpenAlexW2062699080WikidataQ58697756 ScholiaQ58697756MaRDI QIDQ764799

Dong Wei Ye, Kenta Hamada, Masanobu Taniguchi

Publication date: 14 March 2012

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

Full work available at URL: https://semanticscholar.org/paper/2cad43fdd1451ae26cb8d33c9641cc2e12b879bd

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Cites Work

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• On estimation of the integrals of the fourth order cumulant spectral density
• Statistical Estimation in Generalized Multiparameter Likelihood Models
• Limiting behavior of functionals of higher-order sample cumulant spectra

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