Loading…

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...

Full description

Saved in:
Bibliographic Details
Published in:Procedia engineering 2011, Vol.23, p.392-396
Main Author: Yao, Hai-xiang
Format: Article
Language:English
Subjects:
Citations: Items that this one cites
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
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.
ISSN:1877-7058
1877-7058
DOI:10.1016/j.proeng.2011.11.2519