Optimal portfolio estimation for dependent financial returns with generalized empirical likelihood

Abstract

This paper proposes to use the method of generalized empirical likelihood to find the optimal portfolio weights. The log-returns of assets are modeled by multivariate stationary processes rather than i.i.d. sequences. The variance of the portfolio is written by the spectral density matrix, and we seek the portfolio weights which minimize it. Copyright © 2012 Hiroaki Ogata.