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Article Dans Une Revue Advances in Decision Sciences Année : 2012

Optimal portfolios with end-of-period target

Résumé

We study the estimation of optimal portfolios for a Reserve Fund with an end-of-period target and when the returns of the assets that constitute the Reserve Fund portfolio follow two specifications. In the first one, assets are split into short memory (bonds) and long memory (equity), and the optimality of the portfolio is based on maximizing the Sharpe ratio. In the second, returns follow a conditional heteroskedasticity autoregressive nonlinear model, and we study when the distribution of the innovation vector is heavy-tailed stable. For this specification, we consider appropriate estimation methods, which include bootstrap and empirical likelihood.

Dates et versions

hal-00776439 , version 1 (15-01-2013)

Identifiants

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Hiroshi Shiraishi, Hiroaki Ogata, Tomoyuki Amano, Valentin Patilea, David Veredas, et al.. Optimal portfolios with end-of-period target. Advances in Decision Sciences, 2012, 2012 (Article ID 703465), 13 p. ⟨10.1155/2012/703465⟩. ⟨hal-00776439⟩
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