文章基本信息

标题：Resampling Procedure to Construct Estimation Error Efficient Portfolios for Stationary Returns of Assets
本地全文：下载
作者：Hiroshi Shiraishi
期刊名称：JOURNAL OF THE JAPAN STATISTICAL SOCIETY
印刷版ISSN：1882-2754
电子版ISSN：1348-6365
出版年度：2010
卷号：40
期号：2
页码：189-206
DOI：10.14490/jjss.40.189
出版社：JAPAN STATISTICAL SOCIETY
摘要：This paper discusses resampling procedures in the estimation of optimal portfolios when the returns are VAR( p ) processes and VGARCH( p,q ) processes. Then a consistency between the estimation error of the estimator of the mean-variance optimal portfolio parameter and that of the resampled one is shown. Based on this we construct an estimator of the lower tail of the estimation error. Moreover, we introduce the Estimation Error Efficient Portfolio which considers the estimation error as the portfolio risk. Numerical results show that our approach is applicable to actual portfolio management.
关键词：Optimal portfolio;bootstrap;VAR model;VGARCH model;non-Gaussian;estimation error