A kernel density estimation-maximum likelihood approach to risk analysis of portfolio

Junzo Watada

doi:10.1109/WISP.2013.6657479

A kernel density estimation-maximum likelihood approach to risk analysis of portfolio

Junzo Watada^*

^*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

1 Citation (Scopus)

Abstract

Nowadays one of the most studied issues in economic or finance field is to get the best possible return with the minimum risk. Therefore, the objective of the paper is to select the optimal investment portfolio from SP500 stock market and CBOE Interest Rate 10-Year Bond to obtain the minimum risk in the financial market.

Original language	English
Title of host publication	2013 IEEE 8th International Symposium on Intelligent Signal Processing, WISP 2013 - Proceedings
Publisher	IEEE Computer Society
Pages	37-42
Number of pages	6
ISBN (Print)	9781467345439
DOIs	https://doi.org/10.1109/WISP.2013.6657479
Publication status	Published - 2013
Event	2013 IEEE 8th International Symposium on Intelligent Signal Processing, WISP 2013 - Funchal, Madeira Duration: 2013 Sept 16 → 2013 Sept 18

Other

Other	2013 IEEE 8th International Symposium on Intelligent Signal Processing, WISP 2013
City	Funchal, Madeira
Period	13/9/16 → 13/9/18

Keywords

confidence interval
expected value
fuzzy random variable
Fuzzy regression model
variance

ASJC Scopus subject areas

Artificial Intelligence
Signal Processing

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10.1109/WISP.2013.6657479

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Watada, J 2013, A kernel density estimation-maximum likelihood approach to risk analysis of portfolio. in 2013 IEEE 8th International Symposium on Intelligent Signal Processing, WISP 2013 - Proceedings., 6657479, IEEE Computer Society, pp. 37-42, 2013 IEEE 8th International Symposium on Intelligent Signal Processing, WISP 2013, Funchal, Madeira, 13/9/16. https://doi.org/10.1109/WISP.2013.6657479

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KW - expected value

KW - fuzzy random variable

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KW - variance

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A kernel density estimation-maximum likelihood approach to risk analysis of portfolio

Abstract

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Keywords

ASJC Scopus subject areas

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