Please use this identifier to cite or link to this item: http://hdl.handle.net/11422/10049
Type: Relatório
Title: Portfolio management with semi-parametric bootstrapping
Author(s)/Inventor(s): Mendes, Beatriz Vaz de Melo
Leal, Ricardo Pereira Câmara
Abstract: Indisponível
Abstract: Estimation risk is an important topic within the area of risk management. Uncertanties on the parameter estimates carry on to the ¯nal statistical product, for example to the investment strategies, and need to be estimated and accounted for. Unless the exact expressions for the estimators' variances are known, the product's variability will be assessed through bootstrap techniques. We address this issue in this paper and propose a semiparametric bootstrap method for reproducing the data, a method which parametrically takes care of all marginal characteristics of the returns data, and also takes care of the dependence structure existing in the data in a very simple and clever non-parametric way. The technique is applied to the problem of assessing variability of the Markowitz e±cient frontier. Simulation experiments are conducted to assess the out-of-sample forecasting usefulness of the semi-parametric bootstrap methodology.
Keywords: Finanças
Finance
Working paper
Subject CNPq: CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO
Production unit: Instituto COPPEAD de Administração
Publisher: Universidade Federal do Rio de Janeiro
In: Relatórios COPPEAD
Issue: 390
Issue Date: 2010
Publisher country: Brasil
Language: por
Right access: Acesso Aberto
ISBN: 9788575080771
ISSN: 1518-3335
Citation: MENDES, Beatriz Vaz de Melo; LEAL, Ricardo Pereira Câmara. Portfolio management with semi-parametric bootstrapping. Rio de Janeiro: UFRJ, 2010. 14 p. (Relatórios COPPEAD, 390).
Appears in Collections:Relatórios Técnicos e de Pesquisa

Files in This Item:
File Description SizeFormat 
RC_390-Comp..pdf308,98 kBAdobe PDFView/Open


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.