Optimal portfolios with end-of-period target

DOI10.1155/2012/703465zbMath1233.91252OpenAlexW1966114948WikidataQ58697837 ScholiaQ58697837MaRDI QIDQ764803

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

Publication date: 14 March 2012

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

Full work available at URL: http://hdl.handle.net/1854/LU-8649388

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Uses Software

• STABLE
• longmemo

Cites Work

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• Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
• Empirical likelihood and general estimating equations
• Sieve bootstrap for time series
• Jackknife, bootstrap and other resampling methods in regression analysis
• Empirical Characteristic Function Estimation and Its Applications
• Empirical likelihood ratio confidence intervals for a single functional
• Numerical calculation of stable densities and distribution functions

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