Statistically efficient construction of \(a\)-risk-minimizing portfolio
type: Item
instance of: scholarly article
title: Statistically efficient construction of \(a\)-risk-minimizing portfolio
zbMATH Open document ID: 1244.91085
DOI: 10.1155/2012/980294
author: Hiroyuki Taniai
author: Takayuki Shiohama
published in: Advances in Decision Sciences
publication date: 2012-08-14T00:00:00Z
review text: Summary: We propose a semiparametrically efficient estimator for \(a\)-risk-minimizing portfolio weights. Based on the work of \textit{G. W. J. Bassett}, \textit{R. Koenker} and \textit{G. Kordas} [``Pessimistic portfolio allocation and choquet expected utility,'' J. Fin. Econometrics 2, No. 4, 477--492 (2004)], an \(a\)-risk-minimizing portfolio optimization is formulated as a linear quantile regression problem. The quantile regression method uses a pseudolikelihood based on an asymmetric Laplace reference density, and asymptotic properties such as consistency and asymptotic normality are obtained. We apply the results of Hallin et al. (2008) to the problem of constructing \(a\)-risk-minimizing portfolios using residual signs and ranks and a general reference density. Monte Carlo simulations assess the performance of the proposed method. Empirical applications are also investigated.
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 6065405
zbMATH Keywords: \(a\)-risk-minimizing portfolios
zbMATH Keywords: semiparametrically efficient estimators
Wikidata QID: Q58697872
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2012/980294
OpenAlex ID: W2073720626
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DBLP publication ID: journals/jamds/TaniaiS12
description: scientific article; zbMATH DE number 6065405