Statistical estimation of optimal portfolios for locally stationary returns of assets

International Journal of Theoretical and Applied Finance

Volumn 10, Issue 1, 2007, Pages 129-154

  Shiraishi, Hiroshi ^a   Taniguchi, Masanobu ^a  

^a WASEDA UNIVERSITY   (Japan)

Author keywords

Asymptotic efficiency; Kernel method; Locally asymptotic normality; Locally stationary process; Optimal portfolio

Indexed keywords

EID: 33846438586     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024907004093     Document Type: Article

References (10)

1. G. Basak, R. Jagannathan and G. Sun, A direct test for the mean variance efficiency of a portfolio, Journal of Economic Dynamics and Control 26 (2002) 1195-1215.
2. P. J. Brockwell and R. A. Davis, Time Series: Theory and Methods (Springer, New York, 1991).
3. D. R. Brillinger, Time Series: Data Analysis and Theory, Expanded Edition (Holden-Day, San Francisco, 1981).
4. R. Dahlhaus, Asymptotic statistical inference for nonstationary processes with evolutionary spectra, Athens Conference on Applied Probability and Time Series 2. Lecture Notes in Statistics 115 (1996) 145-159.
5. R. Dahlhaus, Maximum likelihood estimation and model selection for locally stationary processes. Journal of Nonparameterized Statistics 6 (1996) 171-191.
6. J. Hirukawa and M. Taniguchi, LAN theorem for non-Gaussian locally stationary processes and its applications, Journal of Statistical Plan. Inf. 136 (2006) 640-688.
7. J. R. Magnus and H. Neudecker, Matrix Differential Calculus with Applications in Statistics and Economics (Wiley, New York, 1988).
8. H. Shiraishi and M. Taniguchi, Statistical estimation of optimal portfolios for non-Gaussian dependent returns of assets, Waseda University Time Series Discussion Paper (2005).
9. H. Shiraishi and M. Taniguchi, Statistical estimation of optimal portfolios for locally stationary returns of assets, Waseda University Time Series Discussion Paper (2006). http://www.math.waseda.ac.jp/~taniguchi/ optimal_portfolio_ver3.pdf.
10. A. R. Swensen, The asymptotic distribution of the likelihood ratio for autoregressive time series with a regression trend, Journal of Multivariate Analysis 16 (1985) 54-70.