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^*

^*この研究の対応する著者

研究成果: Conference contribution

1 被引用数 (Scopus)

抄録

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.

本文言語	English
ホスト出版物のタイトル	2013 IEEE 8th International Symposium on Intelligent Signal Processing, WISP 2013 - Proceedings
出版社	IEEE Computer Society
ページ	37-42
ページ数	6
ISBN（印刷版）	9781467345439
DOI	https://doi.org/10.1109/WISP.2013.6657479
出版ステータス	Published - 2013
イベント	2013 IEEE 8th International Symposium on Intelligent Signal Processing, WISP 2013 - Funchal, Madeira 継続期間: 2013 9月 16 → 2013 9月 18

Other

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

ASJC Scopus subject areas

人工知能
信号処理

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10.1109/WISP.2013.6657479

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引用スタイル

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

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Other

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