2011 Fiscal Year Final Research Report
Statistical Estimation of Optimal Portfolios for Dependent Returns of Assets
| Project/Area Number |
20730147
|
|---|
| Research Category |
Grant-in-Aid for Young Scientists (B)
|
| Allocation Type | Single-year Grants |
|---|
| Research Field |
Economic statistics
|
|---|
| Research Institution | Jikei University School of Medicine (2009-2011)
Waseda University (2008) |
|---|
Principal Investigator |
|
|---|
| Project Period (FY) |
2008 – 2011
|
| Keywords | 計量経済学 |
|---|
| 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.
|
