Portfolio selection based on nonparametric estimation and quadric utility maximization framework

被引:0
|
作者
Yao, Hai-xiang [1 ]
机构
[1] Guangdong Univ Foreign Studies, Sch Informat, Guangzhou 510006, Guangdong, Peoples R China
来源
PEEA 2011 | 2011年 / 23卷
关键词
Portfolio selection; quadric utility function; utility maximization model; nonparametric estimation; COMPARATIVE STATICS;
D O I
10.1016/j.proeng.2011.11.2519
中图分类号
TM [电工技术]; TN [电子技术、通信技术];
学科分类号
0808 ; 0809 ;
摘要
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. (C) 2011 Published by Elsevier Ltd. Selection and/or peer-review under responsibility of [name organizer]
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页数:5
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