文章基本信息

标题：Optimal Portfolio Estimation for Dependent Financial Returns with Generalized Empirical Likelihood
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作者：Hiroaki Ogata
期刊名称：Advances in Decision Sciences
印刷版ISSN：2090-3359
电子版ISSN：2090-3367
出版年度：2012
卷号：2012
DOI：10.1155/2012/973173
出版社：Hindawi Publishing Corporation
摘要：This paper proposes to use the method of generalized empirical likelihood to find the optimal portfolio weights. The log-returns of assets are modeled by multivariate stationary processes rather than i.i.d. sequences. The variance of the portfolio is written by the spectral density matrix, and we seek the portfolio weights which minimize it.