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Portfolio selection based on nonparametric estimation and quadric utility maximization framework
This paper adopts the methodology of nonparametric estimation and utility maximization model to explore a portfolio selection problem under the assumption that investors have quadric utility function. First, we obtain the estimated calculation formula for the expected utility by using the nonparamet...
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Published in: | Procedia engineering 2011, Vol.23, p.392-396 |
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Main Author: | |
Format: | Article |
Language: | English |
Subjects: | |
Citations: | Items that this one cites |
Online Access: | Get full text |
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Summary: | This paper adopts the methodology of nonparametric estimation and utility maximization model to explore a portfolio selection problem under the assumption that investors have quadric utility function. First, we obtain the estimated calculation formula for the expected utility by using the nonparametric estimation of portfolio return's density function. Then, the optimal investment strategy for the utility maximization model is obtained. Finally a numerical example based on real data of Chinese stock market is given to show the usefulness and effectiveness of the results. |
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ISSN: | 1877-7058 1877-7058 |
DOI: | 10.1016/j.proeng.2011.11.2519 |