한국통계학회:학술대회논문집 (Proceedings of the Korean Statistical Society Conference)
- 한국통계학회 2005년도 추계 학술발표회 논문집
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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)
- 발행 : 2005.11.04
초록
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
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