相关论文: Asymptotic distribution of the Markowitz portfolio

Markov regime switching models have been widely used in numerous empirical applications in economics and finance. However, the asymptotic distribution of the maximum likelihood estimator (MLE) has not been proven for some empirically…

We introduce a simple and tractable methodology for estimating semiparametric conditional latent factor models. Our approach disentangles the roles of characteristics in capturing factor betas of asset returns from ``alpha.'' We construct…

We investigate the use of the Metropolis-Hastings algorithm to sample posterior distribution in a Bayesian inverse problem, where the likelihood function is random. Concretely, we consider the case where one has full field observations of a…

I study the product of independent identically distributed $D\times D$ random probability matrices. Some exact asymptotic results are obtained. I find that both the left and the right products approach exponentially to a probability…

It has been understood that the "local" existence of the Markowitz' optimal portfolio or the solution to the local-risk minimization problem is guaranteed by some specific mathematical structures on the underlying assets price processes…

We propose sequential Monte Carlo based algorithms for maximum likelihood estimation of the static parameters in hidden Markov models with an intractable likelihood using ideas from approximate Bayesian computation. The static parameter…

Traditional methods for inference in change point detection often rely on a large number of observed data points and can be inaccurate in non-asymptotic settings. With the rise of mobile health and digital phenotyping studies, where…

We consider a likelihood ratio method for testing whether a monotone baseline hazard function in the Cox model has a particular value at a fixed point. The characterization of the estimators involved is provided both in the nondecreasing…

Portfolio optimization is a task that investors use to determine the best allocations for their investments, and fund managers implement computational models to help guide their decisions. While one of the most common portfolio optimization…

There exists a range of different models for estimating and simulating credit risk transitions to optimally manage credit risk portfolios and products. In this chapter we present a Coupled Markov Chain approach to model rating transitions…

We analyze a stochastic approximation algorithm for decision-dependent problems, wherein the data distribution used by the algorithm evolves along the iterate sequence. The primary examples of such problems appear in performative prediction…

We study the design of portfolios under a minimum risk criterion. The performance of the optimized portfolio relies on the accuracy of the estimated covariance matrix of the portfolio asset returns. For large portfolios, the number of…

When an unbiased estimator of the likelihood is used within a Metropolis--Hastings chain, it is necessary to trade off the number of Monte Carlo samples used to construct this estimator against the asymptotic variances of averages computed…

Estimation error has plagued quantitative finance since Harry Markowitz launched modern portfolio theory in 1952. Using random matrix theory, we characterize a source of bias in the sample eigenvectors of financial covariance matrices.…

Averaging is an important method to extract effective macroscopic dynamics from complex systems with slow modes and fast modes. This article derives an averaged equation for a class of stochastic partial differential equations without any…

This paper develops a general methodology to conduct statistical inference for observations indexed by multiple sets of entities. We propose a novel multiway empirical likelihood statistic that converges to a chi-square distribution under…

We study averages of multiplicative eigenvalue statistics in ensembles of orthogonal Haar distributed matrices, which can alternatively be written as Toeplitz+Hankel determinants. We obtain new asymptotics for symbols with Fisher-Hartwig…

This paper is devoted to study the optimal portfolio problem. Harry Markowitz's Ph.D. thesis prepared the ground for the mathematical theory of finance. In modern portfolio theory, we typically find asset returns that are modeled by a…

We propose a distributionally robust return-risk model for Markov decision processes (MDPs) under risk and reward ambiguity. The proposed model optimizes the weighted average of mean and percentile performances, and it covers the…

We consider regression models involving multilayer perceptrons (MLP) with one hidden layer and a Gaussian noise. The data are assumed to be generated by a true MLP model and the estimation of the parameters of the MLP is done by maximizing…