Statistical Estimation of Optimal Portfolios for Dependent Returns of Assets
| Project/Area Number |
20730147
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Single-year Grants |
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| Research Field |
Economic statistics
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| Research Institution | Jikei University School of Medicine (2009-2011)
Waseda University (2008) |
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Principal Investigator |
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| Project Period (FY) |
2008 – 2011
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| Project Status |
Completed (Fiscal Year 2011)
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| Budget Amount *help |
¥4,290,000 (Direct Cost: ¥3,300,000、Indirect Cost: ¥990,000)
Fiscal Year 2011: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2010: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2009: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2008: ¥1,950,000 (Direct Cost: ¥1,500,000、Indirect Cost: ¥450,000)
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| Keywords | 計量経済学 / 経済統計学 / 統計数学 / 時系列解析 / 統計的推測 / モデル選択 / 数理ファイナンス / 多変量解析 / データマイニング |
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| Research Abstract |
(1) When the financial returns are the ARMA-GARCH process or the time-varying ARCH process, proper resampling(bootstrap) procedures and the optimal portfolio weight estimators are proposed. Moreover, the asymptotic property of these estimators are investigated. Furthermore, the practical use possibility of these techniques are verified using experience data.
(2) Various portfolios other than mean-variance portfolio and the asymptotic property of these estimators are investigated. Especially, investigation of "Pessimistic Portfolio" which optimize the lower partial moment accomplished. Moreover the optimization algorithm in the multi-period problem under a discrete time model and a procedure of ALM(asset and liability management) in pension insurance are proposed.
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Report
(6 results)
Research Products
(21 results)
