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2011 Fiscal Year Final Research Report

Statistical Estimation of Optimal Portfolios for Dependent Returns of Assets

Research Project

  • PDF
Project/Area Number 20730147
Research Category

Grant-in-Aid for Young Scientists (B)

Allocation TypeSingle-year Grants
Research Field Economic statistics
Research InstitutionJikei University School of Medicine (2009-2011)
Waseda University (2008)

Principal Investigator

SHIRAISHI Hiroshi  東京慈恵会医科大学, 医学部, 講師 (90454024)

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.

  • Research Products

    (8 results)

All 2012 2010 2009 2008 Other

All Journal Article (6 results) (of which Peer Reviewed: 4 results) Presentation (2 results)

  • [Journal Article] Optimal Portfolios with End-of-Period Target2012

    • Author(s)
      Hiroshi Shiraishi
    • Journal Title

      Advances in Decision Sciences

      Volume: Volume 2012

    • DOI

      DOI:10.1155/2012/703465

    • Peer Reviewed
  • [Journal Article] Resampling procedure to construct estimation error efficient portfolios for stationary returns of assets2010

    • Author(s)
      Hiroshi Shiraishi
    • Journal Title

      Journal of the Japan Statistical Society

      Volume: 40 Pages: 189-206

    • Peer Reviewed
  • [Journal Article] Statistical estimation of optimal portfolios depending on higher order cumulants2009

    • Author(s)
      Hiroshi Shiraishi and Masanobu Taniguchi
    • Journal Title

      Annales del' I. S. U. P.

      Volume: 53 Pages: 3-18

    • Peer Reviewed
  • [Journal Article] Statistical estimation of optimal portfolios for non-Gaussian dependent returns of assets2008

    • Author(s)
      Hiroshi Shiraishi and Masanobu Taniguchi
    • Journal Title

      Journal of Forecasting

      Volume: 27 Pages: 193-215

    • Peer Reviewed
  • [Journal Article] RESAMPLING PROCEDURE IN ESTIMATION OF OPTIMAL PORTFOLIOS FOR TIME-VARYING ARCH PROCESSES

    • Author(s)
      Hiroshi Shiraishi
    • Journal Title

      To appear in Scientiae Mathematicae Japonicae

  • [Journal Article] A Simulation Approach to Statistical Estimation of Multiperiod Optimal Portfolios

    • Author(s)
      Hiroshi Shiraishi
    • Journal Title

      To appear in Advances in Decision Sciences

  • [Presentation] Resampling procedure to construct Value at Risk efficient portfolio for ARMA-GARCH returns of assets2009

    • Author(s)
      白石博
    • Organizer
      日本数学会
    • Place of Presentation
      東京
    • Year and Date
      2009-03-28
  • [Presentation] Statistical estimation of optimal portfolios for Dependent Returns of Assets2008

    • Author(s)
      白石博
    • Organizer
      日本数学会
    • Place of Presentation
      東京
    • Year and Date
      2008-09-24

URL: 

Published: 2013-07-31  

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