Proceedings of the Korean Statistical Society Conference (한국통계학회:학술대회논문집)
- 2005.11a
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- Pages.55-58
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- 2005
Statistical Estimation of Optimal Portfolios for non-Gaussian Dependent Returns of Assets
- Taniguchi, Masanobu (Waseda University) ;
- Shiraishi, Hiroshi (Waseda University)
- Published : 2005.11.04
Abstract
This paper discusses the asymptotic efficiency of estimators for optimal portfolios when returns are vector-valued non-Gaussian stationary processes. We give the asymptotic distribution of portfolio estimators
Keywords