Statistics seminar 2018: Statistical Estimation of Optimal Portfolios for Dependent Returns

  • Data: 13 settembre 2018

  • Luogo: Dipartimento di Scienze Statistiche - via delle Belle Arti 41 - Aula III

Masanobu Taniguchi
Waseda University - Tokyo

The practice of spatial econometrics revolves around a weighting matrix, which is often supplied by the user on previous knowledge. This is the so called W issue. Probably, the aprioristic approach is not the best solution although, nowadays, there few alternatives for the user. Our contribution focuses on the problem of selecting a Wmatrix from among a finite set of matrices, all of them deemed appropriate for the case. We develop a new and simple method based on the Entropy corresponding to the distribution of probability estimated for the data. Other alternatives, which are common in current applied work, are also reviewed. The paper includes a large Monte Carlo resolved in order to calibrate the effectiveness of our approach compared to the others. Two well-known case study are also included.

Alessandra Luati

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