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Abstract
We study the estimation of optimal portfolios for a Reserve Fund with an end-of-period target and when the returns of the assets that constitute the Reserve Fund portfolio follow two specifications. In the first one, assets are split into short memory (bonds) and long memory (equity), and the optimality of the portfolio is based on maximizing the Sharpe ratio. In the second, returns follow a conditional heteroskedasticity autoregressive nonlinear model, and we study when the distribution of the innovation vector is heavy-tailed stable. For this specification, we consider appropriate estimation methods, which include bootstrap and empirical likelihood.

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MLA
Shiraishi, Hiroshi, et al. “Optimal Portfolios with End-of-Period Target.” ADVANCES IN DECISION SCIENCES, vol. 2012, 2012.
APA
Shiraishi, H., Ogata, H., Amano, T., Patilea, V., Veredas, D., & Taniguchi, M. (2012). Optimal portfolios with end-of-period target. ADVANCES IN DECISION SCIENCES, 2012.
Chicago author-date
Shiraishi, Hiroshi, Hiroaki Ogata, Tomoyuki Amano, Valentin Patilea, David Veredas, and Masanobu Taniguchi. 2012. “Optimal Portfolios with End-of-Period Target.” ADVANCES IN DECISION SCIENCES 2012.
Chicago author-date (all authors)
Shiraishi, Hiroshi, Hiroaki Ogata, Tomoyuki Amano, Valentin Patilea, David Veredas, and Masanobu Taniguchi. 2012. “Optimal Portfolios with End-of-Period Target.” ADVANCES IN DECISION SCIENCES 2012.
Vancouver
1.
Shiraishi H, Ogata H, Amano T, Patilea V, Veredas D, Taniguchi M. Optimal portfolios with end-of-period target. ADVANCES IN DECISION SCIENCES. 2012;2012.
IEEE
[1]
H. Shiraishi, H. Ogata, T. Amano, V. Patilea, D. Veredas, and M. Taniguchi, “Optimal portfolios with end-of-period target,” ADVANCES IN DECISION SCIENCES, vol. 2012, 2012.
@article{8649388,
  abstract     = {We study the estimation of optimal portfolios for a Reserve Fund with an end-of-period target and when the returns of the assets that constitute the Reserve Fund portfolio follow two specifications. In the first one, assets are split into short memory (bonds) and long memory (equity), and the optimality of the portfolio is based on maximizing the Sharpe ratio. In the second, returns follow a conditional heteroskedasticity autoregressive nonlinear model, and we study when the distribution of the innovation vector is heavy-tailed stable. For this specification, we consider appropriate estimation methods, which include bootstrap and empirical likelihood.},
  articleno    = {703465},
  author       = {Shiraishi, Hiroshi and Ogata, Hiroaki and Amano, Tomoyuki and Patilea, Valentin and Veredas, David and Taniguchi, Masanobu},
  issn         = {2090-3359},
  journal      = {ADVANCES IN DECISION SCIENCES},
  language     = {eng},
  pages        = {13},
  title        = {Optimal portfolios with end-of-period target},
  url          = {http://dx.doi.org/10.1155/2012/703465},
  volume       = {2012},
  year         = {2012},
}

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