构建资产平稳收益估计误差有效组合的重抽样方法

Journal of the Japan Statistical Society. Japanese issue Pub Date : 2010-03-22 DOI:10.14490/JJSS.40.189

Hiroshi Shiraishi

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引用次数: 4

摘要

本文讨论了当收益为VAR(p)过程和VGARCH(p, q)过程时最优投资组合估计的重抽样过程。然后证明了均值方差最优组合参数估计量的估计误差与重采样后的估计误差的一致性。在此基础上构造了估计误差下尾的估计量。此外，我们还引入了估计误差有效投资组合，它将估计误差视为投资组合的风险。数值结果表明，该方法适用于实际的投资组合管理。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Resampling Procedure to Construct Estimation Error Efficient Portfolios for Stationary Returns of Assets

This paper discusses resampling procedures in the estimation of optimal portfolios when the returns are VAR( p ) processes and VGARCH( p, q ) processes. Then a consistency between the estimation error of the estimator of the mean-variance optimal portfolio parameter and that of the resampled one is shown. Based on this we construct an estimator of the lower tail of the estimation error. Moreover, we introduce the Estimation Error Eﬃcient Portfolio which considers the estimation error as the portfolio risk. Numerical results show that our approach is applicable to actual portfolio management.

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