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...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Asia University
2012-01-01
|
| Series: | Advances in Decision Sciences |
| Online Access: | http://dx.doi.org/10.1155/2012/980294 |