Statistically Efficient Construction of α-Risk-Minimizing Portfolio
نویسندگان
چکیده
منابع مشابه
Statistically Efficient Construction of α-Risk-Minimizing Portfolio
We propose a semiparametrically efficient estimator for α-risk-minimizing portfolio weights. Based on the work of Bassett et al. 2004 , an α-risk-minimizing portfolio optimization is formulated as a linear quantile regression problem. The quantile regression method uses a pseudolikelihood based on an asymmetric Laplace reference density, and asymptotic properties such as consistency and asympto...
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ژورنال
عنوان ژورنال: Advances in Decision Sciences
سال: 2012
ISSN: 2090-3359,2090-3367
DOI: 10.1155/2012/980294